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The Journal of Portfolio Management

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Primary Article

Extending Black-Litterman Analysis Beyond the Mean-Variance Framework

Lionel Martellini and Volker Ziemann
The Journal of Portfolio Management Summer 2007, 33 (4) 33-44; DOI: https://doi.org/10.3905/jpm.2007.690604
Lionel Martellini
A professor of finance at Edhec Business School and scientific director of the Edhec Risk and Asset Management Research Centre in Nice, France.
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  • For correspondence: lionel.martellini@edhec.edu
Volker Ziemann
A research engineer at the Edhec Risk and Asset Management Research Centre in Nice.
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  • For correspondence: volker.ziemann@edhec.edu
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Abstract

Extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions has a particular application to active style allocation decisions in hedge fund investing. Results here suggest that the systematic implementation of active style allocation decisions can add significant value in a hedge fund portfolio, provided implementation of a sound investment process to account for non-normality and parameter uncertainty in hedge fund return distributions.

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The Journal of Portfolio Management
Vol. 33, Issue 4
Summer 2007
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Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
Lionel Martellini, Volker Ziemann
The Journal of Portfolio Management Jul 2007, 33 (4) 33-44; DOI: 10.3905/jpm.2007.690604

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Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
Lionel Martellini, Volker Ziemann
The Journal of Portfolio Management Jul 2007, 33 (4) 33-44; DOI: 10.3905/jpm.2007.690604
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