- Joined
- 6/24/14
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Dear all,
I am currently working on my masters thesis athat is about the black litterman model. Ive done all the modelling in excel and ive incorporated all the views.
My model contains 5 asset classes: equity, govvies, corporate bonds, hy bonds and real estate.
Now, I have views about four of these asset classes (none about real estate); I thought if i dont have views about real estate, its assigned unconstrained) B-Litterman weight should be equal to the equilibrium market weights?
But this does not appear to be the case, is my assumption that it should be equal to the market weights wrong? Or is there some kind of flaw in my model?
I am currently working on my masters thesis athat is about the black litterman model. Ive done all the modelling in excel and ive incorporated all the views.
My model contains 5 asset classes: equity, govvies, corporate bonds, hy bonds and real estate.
Now, I have views about four of these asset classes (none about real estate); I thought if i dont have views about real estate, its assigned unconstrained) B-Litterman weight should be equal to the equilibrium market weights?
But this does not appear to be the case, is my assumption that it should be equal to the market weights wrong? Or is there some kind of flaw in my model?
