Questions tagged [black-litterman]
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Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions from prior to posterior
In Black-Litterman we get a new vector of expected returns of the form:
\begin{align}
\Pi_{BL} = \Pi + \underbrace{\tau \Sigma P^T[P\tau\Sigma P^T+\Omega]^{-1}}_{\text{correction}}[Q-P\Pi]
\end{align}
...
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