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Berk Günberk
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1992 · Financial Analysts Journal

Global Portfolio Optimization

What it asks

The source of the problem Michaud pointed at is that expected-return estimates are unreliable. Black and Litterman give up on making that estimate. They take the market's current weights as the starting point and let the investor state a view only where they disagree. With no views, the result is the market portfolio itself.

What this paper connects to

  • Answers · 1952

    Portfolio Selection

    Starts from market equilibrium instead of estimating expected returns, then layers the investor’s views on top.