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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