Timeline for black litterman for rebalancing
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 10, 2017 at 15:22 | vote | accept | Michael | ||
| Sep 10, 2017 at 12:16 | comment | added | Forgottenscience | Not sure there is a standard way. I would probably initialize with equal weights as it is parsimonious and repeatable across all strategies - I prefer to avoid minimum variance, and in my mind risk parity is more suited to multi-asset portfolios, but I have no strong opinion on it. If your goal is risk parity why build a model that would move away from it? For subsequent periods I would initialize with the previous period's weight, and possibly estimate the sample variance from the entire set of weights as an uncertainty proxy. | |
| Sep 9, 2017 at 16:55 | comment | added | Michael | Thanks for your response! Are you familiar with any standard ways to choose priors? For example in a long short/ pure alpha strategy (I'm assuming I wouldn't want to use the market portfolio as a prior) would you use equal weights or risk parity or minimum variance etc for the prior? | |
| Sep 8, 2017 at 22:57 | history | answered | Forgottenscience | CC BY-SA 3.0 |