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  • November 2007
  • Background Note
  • HBS Case Collection

Bayesian Estimation & Black-Litterman

By: Joshua D. Coval and Erik Stafford
  • Format:Print
  • | Pages:4
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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

Asset Management; Investment Portfolio; Mathematical Methods

Citation

Coval, Joshua D., and Erik Stafford. "Bayesian Estimation & Black-Litterman." Harvard Business School Background Note 208-085, November 2007.
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About The Authors

Joshua D. Coval

Finance
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Erik Stafford

Finance
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More from the Authors

    • March 2021
    • Faculty Research

    Carnival Corp: Cruising In the Time of Covid

    By: Emily R. McComb and Erik Stafford
    • 2019
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    Do Banks Have an Edge?

    By: Juliane Begenau and Erik Stafford
    • December 2017
    • Journal of Political Economy

    Reply: Do Powerful Politicians Really Cause Corporate Downsizing?

    By: Lauren Cohen, Joshua D. Coval and Christopher J. Malloy
More from the Authors
  • Carnival Corp: Cruising In the Time of Covid By: Emily R. McComb and Erik Stafford
  • Do Banks Have an Edge? By: Juliane Begenau and Erik Stafford
  • Reply: Do Powerful Politicians Really Cause Corporate Downsizing? By: Lauren Cohen, Joshua D. Coval and Christopher J. Malloy
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