1.
To begin, we'll take for granted that means are more difficult to estimate that covariances and will focus on how Black and Litterman
->
more difficult to estimate than covariances
2.
towards the conservative market view, $\mu{BL}$.
that leads to the more conservative market portfolio
->
towards the conservative market view, $\mu{BL}$,
that leads to the more conservative market portfolio (change period to comma)
3.
Equation 10, expectation had an unmatched right bracket
not sure:
For utility function argument $w'
(\vec r - r_f {\bf 1}) $,
$$ {\sf T} (\vec r - r_f {\bf 1}) = w' \mu + \zeta - \frac{1}{2\theta} w' \Sigma w $$
Should it be $ {\sf T} w' (\vec r - r_f {\bf 1}) = w' \mu + \zeta - \frac{1}{2\theta} w' \Sigma w $?
black_litterman:
Modification:
1. To begin, we'll take for granted that means are more difficult to estimate that covariances and will focus on how Black and Litterman -> more difficult to estimate than covariances 2. towards the conservative market view, $\mu{BL}$. that leads to the more conservative market portfolio -> towards the conservative market view, $\mu{BL}$, that leads to the more conservative market portfolio (change period to comma)
3. Equation 10, expectation had an unmatched right bracket
not sure:
For utility function argument $w' (\vec r - r_f {\bf 1}) $, $$ {\sf T} (\vec r - r_f {\bf 1}) = w' \mu + \zeta - \frac{1}{2\theta} w' \Sigma w $$
Should it be $ {\sf T} w' (\vec r - r_f {\bf 1}) = w' \mu + \zeta - \frac{1}{2\theta} w' \Sigma w $?
What is $\zeta$?