The Black-Litterman Model Explained

i.e.,~er jG » N(~„b [n£1];§[n£n])4, where ~b„ = E(~erjG)5 is the vector of mean estimates and § = E(VjG) is the variance-covariance matrix. The second-moment estimate § is generally regarded as more reliable than the first-moment estimates ~b„.The latter is the holy grail of the investment industry. On the other hand, the private information H generally includes particular insights ...

Model, Black, The black litterman model, Litterman