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Reproduced with permission of the copyright owner. Further reproduction prohibited without permission. Global Portfolio Optimization Black, Fischer; Litterman, Robert Financial Analysts Journal; Sep/Oct 1992; 48, 5; ABI/INFORM Global pg. 28
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New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 1: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Global Portfolio OptimizationBlack, Fischer; Litterman, RobertFinancial Analysts Journal; Sep/Oct 1992; 48, 5; ABI/INFORM Globalpg. 28

Page 2: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 3: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 4: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 5: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 6: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 7: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 8: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 9: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 10: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 11: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 12: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 13: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 14: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 15: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

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Page 16: New Fuqua School of Business - Global Portfolio Optimization Black, …charvey/Teaching/BA453... · 2005. 4. 13. · Global Portfolio Optimization Black, Fischer; Litterman, Robert

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.