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On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
Chi-Lin Li / Chung-Han Hsieh
factor investing / portfolio managementResource overview

On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management

Paper2023

by Chi-Lin Li, Chung-Han Hsieh

Tags
factor investingportfolio managementportfolio optimization

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Understand this paper

Suggested foundations for portfolio construction and asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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