Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing the intuition of the Bayesian approach to inference in a univariate setting.

【書誌情報】

ページ数：4ページ

サイズ：A4

商品番号：HBSP-9-208-085

発行日：2007/11/8

登録日：2008/2/4