Performance Control and Risk Calibration in the Black–Litterman Model

Chyng Wen Tee; Shirley Huang; Kian Guan Lim

doi:10.3905/jpm.2017.43.3.126

Performance Control and Risk Calibration in the Black–Litterman Model

Chyng Wen Tee, Shirley Huang and Kian Guan Lim

The Journal of Portfolio Management Spring 2017, 43 (3) 126-135; DOI: https://doi.org/10.3905/jpm.2017.43.3.126

Chyng Wen Tee

is an assistant professor in the School of Business at Singapore Management University in Singapore.

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For correspondence: cwtee@smu.edu.sg

Shirley Huang

is an assistant professor in the School of Business at Singapore Management University in Singapore.

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For correspondence: shirleyhuang@smu.edu.sg

Kian Guan Lim

is OUB chair professor at Singapore Management University in Singapore.

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For correspondence: kglim@smu.edu.sg

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Performance Control and Risk Calibration in the Black–Litterman Model

Chyng Wen Tee, Shirley Huang, Kian Guan Lim

The Journal of Portfolio Management Apr 2017, 43 (3) 126-135; DOI: 10.3905/jpm.2017.43.3.126

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Performance Control and Risk Calibration in the Black–Litterman Model

Chyng Wen Tee, Shirley Huang, Kian Guan Lim

The Journal of Portfolio Management Apr 2017, 43 (3) 126-135; DOI: 10.3905/jpm.2017.43.3.126

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