While the Black-Litterman (BL) model of expected returns is well-known and widely used throughout the investment management industry, there is apparent persistent confusion over certain aspects of the model, with a number of publications offering various explanations and clarifications as to how...

Portfolio diversification and hedging have become more complicated in large part due to adverse developments in the time-varying behavior of correlations, and consequently there is renewed appreciation for understanding how correlation dynamics affect the diversification and hedging properties...