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| Reference | Title | Link |
| Lim, A., Feced, R., Morris, W. and Wesson, P. (2013) | Asset Allocation at Barclays (White Paper) Mathematical Appendix: the Strategic Asset Allocation Process, step by step | here |
Opening paragraph
"Our Strategic Asset Allocation (SAA) methodology takes the Black-Litterman21 model as a starting point and builds upon it by reducing estimation error or parameter uncertainty in optimisation inputs through re-sampling (see Step 4). Figure 1 shows a schematic explanation of the process, which is described in greater detail in the remainder of the appendix." |
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