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February 2019

Next Boston QWAFAFEW Meeting: 19 Feb 2019

February 19 @ 6:00 pm - 8:00 pm
Tennis & Racquet Club, 3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
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On the Bayesian Interpretation of the Black-Litterman Model A QWAFAFEW discussion led by: Petter Kolm Abstract We present the most general model of the type considered by Black and Litterman (1991) after fully clarifying the duality between Black–Litterman optimization and Bayesian regression. Our generalization is itself a special case of what is known as a Bayesian network or graphical model in machine learning. We cover several practical examples: (1) The treatment of views on factor risk premia in the context…

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