-
Bruce Litterman (born 1951) is
chairman of the Risk
Committee and a
founding partner of
Kepos Capital in New York.
Prior to
Kepos Capital,
Litterman spent...
- Black–
Litterman model is a
mathematical model for
portfolio allocation developed in 1990 at
Goldman Sachs by
Fischer Black and
Robert Litterman, and published...
- in the 1980s but
eventually published. He also co-aut****d the Black–
Litterman model on
global ****et
allocation while at
Goldman Sachs. The advisory...
- accuracy. A
typical example is the
shrinkage prior,
proposed by
Robert Litterman (1979) and
subsequently developed by
other researchers at
University of...
- the
covariances of
returns must be
forecast rather than observed. Black-
Litterman is
often used here. This
model takes the market-implied (i.e. historical)...
-
Lotharingien de Combinatoire. 78B: 80. arXiv:1611.07474. Zhu,
Wandi S.;
Litterman, Adam J.; Sekhon,
Harshaan S.; Kageyama, Robin; Arce, Maya M.; Taylor...
- and
Robert Litterman:
Global Portfolio Optimization,
Financial Analysts Journal,
September 1992, pp. 28–43 JSTOR 4479577 Black–
Litterman model 1994 –...
-
locations 5
offices Area
served Worldwide Key
people Mark
Anson (CEO)
Robert Litterman (Chairman) AUM US$28 billion (2021)
Number of
employees 240
Website www...
- the Black–
Litterman model departs from the
original Markowitz model – i.e. of
constructing portfolios via an
efficient frontier. Black–
Litterman instead...
- of risk. This
helps with some of
these problems, but not others. Black–
Litterman model optimization is an
extension of
unconstrained Markowitz optimization...
