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Extreme Events – Specimen Question A.6.2(a) – Answer/Hints

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Q. Set out how you would use the Black-Litterman approach to identify a robust optimal asset mix for the portfolio.

 

An example of how to apply the Black-Litterman approach is included in an example spreadsheet that illustrates a wide range of Nematrian web functions linked to mean-variance portfolio optimisation, see here.

 


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