TY - JOUR T1 - Extending Black-Litterman Analysis Beyond the Mean-Variance Framework JF - The Journal of Portfolio Management SP - 33 LP - 44 DO - 10.3905/jpm.2007.690604 VL - 33 IS - 4 AU - Lionel Martellini AU - Volker Ziemann Y1 - 2007/07/31 UR - https://pm-research.com/content/33/4/33.abstract N2 - 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 ER -