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Yes there is a method to deal with non-normal market distributions in Black Litterman optimization. It is call Black Litterman Copula Opinion Pooling which uses copulas to model the market returns and therefore solve the non-normality problem. It was propose by Attilio Meucci and it can be implemented in R or Matlab. Never the less there is an other problem ...


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Well there are two main things to consider here. Many implementation of Black-Litterman use the market portfolio and the ex post volatility and correlation structure to back out implied returns to use as prior. As far as I know, there is no standard way to reverse-engineer the optimization problem in the presence of nonnormal markets. (the first guess is ...



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