GLG Workshop: Developments in Portfolio Construction - Black-Litterman and Transaction Costs

Time & Location

Originally Presented: July 29, 2008 12:30 PM, New York

Presenter(s):

GLG Expert Contributor

Agenda:

  • Why classical mean-variance optimization often fails in practice
  • The Black-Litterman model theory, implementation and extensions
  • Incorporating trading strategies into the Black-Litterman model
  • Modeling transaction costs in portfolio optimization

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About GLG Live Meetings

A program focused on educating business and investment professionals through seminars on current trends and core concepts in various industries. Detailed workbooks distributed at the Seminars provide educational reference materials for later review. GLG Live Meetings enable clients to increase thier own industry education by proposing new seminar topics or adding agenda terms to currently scheduled seminars.