RT Journal Article
SR Electronic
T1 Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 33
OP 44
DO 10.3905/jpm.2007.690604
VO 33
IS 4
A1 Lionel Martellini
A1 Volker Ziemann
YR 2007
UL https://pm-research.com/content/33/4/33.abstract
AB 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.TOPICS: VAR and use of alternative risk measures of trading risk, portfolio construction