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In finance, the 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 1992. It seeks to overcome problems that institutional investors have encountered in applying modern portfolio theory in practice. The model starts with an asset ...
Robert 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 23 years at Goldman Sachs , where he was head of the Quantitative Resources Group in Goldman Sachs Asset Management for 11 years, starting in 1998.
As regards portfolio optimization, the Black–Litterman model [49] departs from the original Markowitz model – i.e. of constructing portfolios via an efficient frontier. Black–Litterman instead starts with an equilibrium assumption, and is then modified to take into account the 'views' (i.e., the specific opinions about asset returns) of ...
Black–Litterman model optimization is an extension of unconstrained Markowitz optimization that incorporates relative and absolute 'views' on inputs of risk and returns from. The model is also extended by assuming that expected returns are uncertain, and the correlation matrix in this case can differ from the correlation matrix between returns.
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Black Litter or Black Brood (Spanish: Camada negra) is a 1977 Spanish drama film directed by Manuel Gutiérrez Aragón. In June 1977, it was entered into the 27th Berlin International Film Festival, [1] where Aragón won the Silver Bear for Best Director. [2] The film makes a portrait of extreme right groups in post-Francoist Spain. [3]
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The Indonesian Wikipedia (Indonesian: Wikipedia bahasa Indonesia, WBI for short) is the Indonesian language edition of Wikipedia. It is the fifth-fastest-growing Asian-language Wikipedia after the Japanese, Chinese, Korean, and Turkish language Wikipedias. It ranks 25th in terms of depth among Wikipedias.