Describes a practical way of asset allocation that is certainly more robust to estimation errors than the traditional execution of mean-variance optimization with sample means and covariances.
The Bayesian divine Black-Litterman model is described after introducing the intuition of the Bayesian method of inference in an univariate setting.
PUBLICATION DATE: November 08, 2007 PRODUCT #: 208085-PDF-ENG
This is just an excerpt. This case is about FINANCE & ACCOUNTING
Related Case Solutions & Analyses:
Revenue and Expense Recognition at salesforce.com
Wilford Brimley and Direct Response Advertising at PolyMedica Corporation
New Denmark Sawmill Upgrade
OuterBay and EMC
Global Property and Casualty Insurance Industry
Catawba Industrial Co.
The Politics and Economics of Accounting for Goodwill at Cisco Systems (A)
AREVA
Ceres Gardening Company: Funding Growth in Organic Products, Spanish Version
Dividend Policy at Linear Technology, Spanish Version
