Publications
Publications
- November 2007
- HBS Case Collection
Bayesian Estimation & Black-Litterman
By: Joshua D. Coval and Erik Stafford
Abstract
Describes a practical method for asset allocation that is more robust to estimation errors than the traditional implementation of mean-variance optimization with sample means and covariances. The Bayesian inspired Black-Litterman model is described after introducing the intuition of the Bayesian approach to inference in a univariate setting.
Keywords
Citation
Coval, Joshua D., and Erik Stafford. "Bayesian Estimation & Black-Litterman." Harvard Business School Background Note 208-085, November 2007.
