collaborators

1 paper

q-fin.PM2025

Latent Variable Estimation in Bayesian Black-Litterman Models

Thomas Y. L. Lin, Jerry Yao-Chieh Hu, Paul W. Chiou +1

We revisit the Bayesian Black-Litterman (BL) portfolio model and remove its reliance on subjective investor views. Classical BL requires an investor "view": a forecast vector a…