Back to all posts

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


The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.