The Black-Litterman model aims to enhance asset allocation decisions by overcoming the problems of mean-variance portfolio optimization. We propose a sample based version of the Black-Litterman model and implement it on a multi-asset portfolio consisting of global stocks, bonds, and commodity...

Given the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether either asset allocation strategies based on factors or sectors provide investors with a superior portfolio performance. Our focus is on comparing factor versus sector...