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The Black-Litterman Approach: Original Model and Extensions
Shorter version in, The Encyclopedia of Quantitative Finance, Wiley, 2010

    Published On 01/03/2011
    Author Name : 
    Attilio Meucci
    Published Date: 
    Tuesday, Apr 8, 2008
    Last Update: 
    Wednesday, Oct 13, 2010
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    We walk the reader through the Black-Litterman approach, providing all the proofs. We show how minor modifications of the original model greatly improve its range of applications. We discuss full generalizations of this and related models. MATLAB code is available through MATLAB Central (sequence14040)