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On the Bayesian Interpretation of Black–Litterman by Dr. Gordon Ritter

In this talk, Dr. Gordon Ritter, Senior Portfolio Manager at GSA Capital, presents the most general model of the type considered by Black and Litterman (1991) after fully clarifying the duality between Black–Litterman optimization and Bayesian regression. His generalization is itself a special case of a Bayesian network or graphical model. As an example, he works out, in full detail, the treatment of views on factor risk premia in the context of APT. He also considers a more speculative example in which the portfolio manager specifies a view on realized volatility by trading a variance swap.

Watch his full talk, On the Bayesian Interpretation of Black-Litterman, from QuantCon NYC 2017:

QuantCon NYC 2018 is Only One Week Away

QuantCon 2018 returns to NYC next week, April 26th-28th, for its fourth year. This year there are two days of workshops, over 25 speakers, ample networking opportunities, and more. The conference has sold out every year, so don't miss out! Check-out the full agenda and register today at www.quantcon.com.

 

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