Portfolio Allocation for Bayesian Dummies

Title: Portfolio Allocation for Bayesian Dummies

This talk will discuss the Black-Litterman model for asset allocation. This model allows users to combine expert judgement regarding future asset performance and market pricing data to construct a weighted portfolio of different assets. The Black-Litterman model brings together ideas from modern portfolio theory, CAPM pricing and most of all the Kalman filter for Bayesian updating.

About the speaker: Markus Gesmann is the co-founder of Insurance Capital Markets Research a quantitative (re)insurance research consultancy based in London. He is also the co-organiser of the Insurance Data Science conference and London Bayesian Mixer Meet-ups.