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Tagged with covariance-estimation black-litterman
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Covariance Shrinkage in Black-Litterman Framework
Good evening guys
I am looking into the effects of covariance shrinkage on the diversification of asset weights for different portfolio optimisations. Initially, I was interested to see how it affects ...
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Black Litterman - numerical instability
I am trying to work out the formula for the posterior mean in Black Litterman's model assuming 100% confidence :
Ref: https://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAssociates/...
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