In the realm of investment decision-making, it is widely recognized that effective decision-making necessitates the integration of various knowledge domains. This paper presents a novel approach to estimating investors’ views in the Black-Litterman model by accumulating evidence from various...

For 5,500 North American hedge funds following 11 different strategies, we analyse the stand-alone performance of these strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of each hedge fund strategy when combined with a...

At the heart of the portfolio selection problem lies the challenge of accurately estimating asset expected returns and covariance matrices. The classical Black-Litterman model addresses this challenge by combining market equilibrium and investors' views within the Markowitz mean-variance...