Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 3, 2023 erstellt
Description:
The paper extends the Black-Litterman model from elliptical distributions to the extended skew-normal and extended skew-student-t distributions. In addition to fat-tails, a non-Gaussian distributional feature already captured by the elliptical family, the extended model analytically incorporates skewness into the two key elements of a Black-Litterman model, i.e., the derivation of the prior from a market view and the specification and integration of an investor's personal view. Out-of-sample tests of 500,000 portfolios over a period of 30 years demonstrate the effectiveness and robustness of skewness incorporation in improving portfolio stability and profitability. The Black-Litterman has been proved to an effective way to utilise skewness in portfolio management