Skip to Main Content
HBS Home
  • About
  • Academic Programs
  • Alumni
  • Faculty & Research
  • Baker Library
  • Giving
  • Harvard Business Review
  • Initiatives
  • News
  • Recruit
  • Map / Directions
Faculty & Research
  • Faculty
  • Research
  • Featured Topics
  • Academic Units
  • …→
  • Harvard Business School→
  • Faculty & Research→
Publications
Publications
  • November 2007
  • Background Note
  • HBS Case Collection

Bayesian Estimation & Black-Litterman

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

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.
  • Educators
  • Purchase

About The Authors

Joshua D. Coval

Finance
→More Publications

Erik Stafford

Finance
→More Publications

More from the Authors

    • March 2022
    • Faculty Research

    Exchanging Salary for Stock Options at a Startup

    By: Erik Stafford
    • January 2022
    • Review of Financial Studies

    Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting

    By: Erik Stafford
    • 2021
    • Faculty Research

    Limits to Bank Deposit Market Power

    By: Juliane Begenau and Erik Stafford
More from the Authors
  • Exchanging Salary for Stock Options at a Startup By: Erik Stafford
  • Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting By: Erik Stafford
  • Limits to Bank Deposit Market Power By: Juliane Begenau and Erik Stafford
ǁ
Campus Map
Harvard Business School
Soldiers Field
Boston, MA 02163
→Map & Directions
→More Contact Information
  • Make a Gift
  • Site Map
  • Jobs
  • Harvard University
  • Trademarks
  • Policies
  • Digital Accessibility
Copyright © President & Fellows of Harvard College