[原创]Black-Litterman model expected, classes, manager, process, returns

Gypsy

請問Unconstrained Black-Litterman 和 Black-Litterman

是否都是一樣用reverse optimization 方法?

書本說Unconstrained Black-Litterman draws weights of asset classes from a global index . Applying a Bayesian process,the manager increases or decreases the weights based upon her views of expected asset class returns

busterbluth

unconstrained的不是用reverse optimization.

很多情况下，题目是不区分这两个方法而统称Black-litterman,这时候运用global index的weighting，standard deviation，covariance求解expected return就是它的特点。