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Black–Litterman with a Factor Structure Applied to Multi-Asset Portfolios

Ilya Figelman
The Journal of Portfolio Management Multi-Asset Special Issue 2018, 44 (2) 136-155; DOI: https://doi.org/10.3905/jpm.2018.44.2.136
Ilya Figelman
is a senior vice president and director of Multi-Asset Class Strategies at Acadian Asset Management in Boston, MA
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The Journal of Portfolio Management: 44 (2)
The Journal of Portfolio Management
Vol. 44, Issue 2
Multi-Asset Special Issue 2018
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Black–Litterman with a Factor Structure Applied to Multi-Asset Portfolios
Ilya Figelman
The Journal of Portfolio Management Dec 2017, 44 (2) 136-155; DOI: 10.3905/jpm.2018.44.2.136

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Black–Litterman with a Factor Structure Applied to Multi-Asset Portfolios
Ilya Figelman
The Journal of Portfolio Management Dec 2017, 44 (2) 136-155; DOI: 10.3905/jpm.2018.44.2.136
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  • Article
    • Abstract
    • BL FRAMEWORK FOR ASSETS
    • INCORPORATING FACTORS INTO BL ASSET FRAMEWORK
    • BLACK–LITTERMAN FRAMEWORK FOR VIEW PORTFOLIOS
    • COMPARING THE BLAF WITH THE BLVP FRAMEWORK
    • REALISTIC EXAMPLE OF BL ASSET FACTOR (BLAF) FRAMEWORK
    • CONCLUDING REMARKS
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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  • PDF

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