【AP】On the Bayesian interpretation of Black-Litterman(1)

Paper Link

On the Bayesian interpretation of Black-Litterman

Authors

Petter Kolm：New York University
Gordaon Ritter：New York University, Rutgers University and Baruch College. U.S.

Pub Date

2016.10.20

Abstract and Introduction

Scatchell 和 Swcroft (2000) 在文章"A demystification of the Black and Litterman model" 提出Black-Litterman模型一般被描述为贝叶斯模型，但是模型的作者Black 和 Litterman (1992, 1991)并没有给出详细的阐述BL模型与Bayesian之间的关系. 用统计学的术语来讲(In language uni