PT  - JOURNAL ARTICLE
AU  - Lionel Martellini
AU  - Volker Ziemann
TI  - Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
AID  - 10.3905/jpm.2007.690604
DP  - 2007 Jul 31
TA  - The Journal of Portfolio Management
PG  - 33--44
VI  - 33
IP  - 4
4099  - https://pm-research.com/content/33/4/33.short
4100  - https://pm-research.com/content/33/4/33.full
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