Beyond Black-Litterman in practice

The technique introduced by Black & Litterman (BL) in 1990 allows portfolio managers to calculate a posterior market distribution that smoothly blends their subjective views on the market with a prior market distribution, under the assumption that all the distributions involved are normal.

In reality, markets are in general highly non-normal. Furthermore, practitioners might wish to input their views in less informative ways than the 'alpha + normal noise' prescription of BL, for instance by

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