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Quantitative & Financial
Saturday, August 31. Portfolio Optimization II : Black-Litterman model. In the previous post. Instability of asset returns. Empirical studies show that expected asset returns explain vast majority of optimal portfolio weightings. However, extrapolation of past returns into the future doesn't work well due to a stochastic nature of financial markets. Nevertheless, our goal is to achieve optimal and stable asset allocation, rather than trying to predict future market returns. The world of efficient markets.
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