Assessing views

A key breakthrough in portfolio management theory was the Black-Litterman framework for finding which subjective view of market performance was best supported by empirical data. However, the question remains how to measure the divergence of a single manager view conditioned using this framework with a firm-wide view of the market embodying the equilibrium returns found from data. Here, Gianluca Fusai and Attilio Meucci provide a technique for doing this

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