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Black Litterman Approach

Black-Litterman model is widely used for asset allocation, however, most of its applications are based on the assumption of normally distributed markets and views. In the paper Beyond Black-Litterman in Practice: A Five-Step Recipe to Input Views on Non-Normal Markets, the author Attilio Meucci extent the Black-Litterman model to allow non-normal distribution assumption, specifically, skew t distribution is used for markets and uniform distribution is for investors views as examples. The author also present general steps to implement the approach in practice.

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