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Applied Economics Letters Volume 18, 2011 - Issue 17
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Original Articles

Incorporating uncertainty into the Black–Litterman portfolio selection model

Joseph Simonian PIMCO, 840 Newport Center Drive, Newport Beach, CA, 92660, USACorrespondence[email protected]
&
Josh Davis PIMCO, 840 Newport Center Drive, Newport Beach, CA, 92660, USA
Pages 1719-1722 | Published online: 11 Apr 2011

References

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  • Black , F. and Litterman , R. 1992 . Global portfolio optimization . Financial Analysts Journal , 48 : 28 – 43 .
  • Chopra , V. and Ziemba , T. 1993 . The effect of errors in means, variances, and covariances on optimal portfolio choice . Journal of Portfolio Management , 19 : 6 – 11 .
  • Ellsberg , D. 1961 . Risk, ambiguity, and the savage axioms . Quarterly Journal of Economics , 75 : 643 – 69 .
  • Garlappi , L. , Uppal , R. and Wang , T. 2007 . Portfolio selection with parameter and model uncertainty: a multi-prior approach . The Review of Financial Studies , 20 : 41 – 81 .
  • Gilboa , I. and Schmeidler , D. 1989 . Maxmin expected utility with a non-unique prior . Journal of Mathematical Economics , 18 : 141 – 53 .
  • Hansen , L. P. and Sargent , T. J. 2001 . Robust control and model uncertainty . American Economic Review, Papers and Proceedings , 91 : 60 – 6 .
  • He , G. and Litterman , R. December 1999 . “ The intuition behind Black–Litterman model portfolios ” . In Investment Management Research , December , Goldman, Sachs & Company .

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