I was wondering if anyone here have ever tried to introduce sector rotation with regards to the Black-Litterman model. I want to try to expand the BL model by introducing this feature, however I have found limited information about this method. The only source that I found that evolved the BL-model was some research done by some Koreans who tested the Korean market.

Thank you in advance

  • $\begingroup$ A good general reference on BL blacklitterman.org $\endgroup$ – noob2 Jan 7 at 20:06
  • $\begingroup$ Why expand the BL model ? If you have return estimates for sectors you can just use them in the model... $\endgroup$ – noob2 Jan 7 at 20:09

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