Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019
. It allows the specification of views and an uncertainty about these views, which are combined with equilibrium returns … process. In the Black-Litterman model, however, uncertainty about the equilibrium returns is specified with an overall scalar …-Litterman model to allow the specification of uncertainty in a flexible way not only in individual views, but also in the equilibrium …