Black-Litterman model - Sensitivity of the optimal portfolio allocation with respect to changes in the level of confidence in expressed views
This paper investigates the sensitivity of portfolio distributions generated by the Black-Litterman model for changes in the confidence level in the investors’ views. The empirical study is performed in an investment universe consisting of assets formed on size and book-to-market value. In this framework the sensitivity of the popular investment strategies of value stocks versus growth stocks and
