Dynamic Black-Litterman
将经典Black-Litterman模型推广到动态环境，允许连续交易和随时间到达的专家观点，推导出资产价格动态和最优动态投资组合的闭式解，数值实验表明其优于重复应用单期模型的策略。
Incorporating Expert Views into Investment Models How can investors best incorporate forward-looking expert views into dynamic portfolio strategies? “Dynamic Black-Litterman,” by Anas Abdelhakmi and Andrew Lim, offers a novel solution. The authors generalize the classic Black-Litterman model to a dynamic setting, allowing for continuous trading and expert views of events over varying time horizons that arrive over time. They derive the explicit dynamics of asset prices after incorporating these views, uncovering a surprising and elegant connection to multidimensional Brownian bridges. Remarkably, the paper provides a closed-form solution for the optimal dynamic portfolio policy, a significant finding for a model of this complexity. This includes a specific hedging component to protect against changes in expert views. Numerical experiments demonstrate that this dynamic approach consistently outperforms strategies that repeatedly apply the single-period model, leading to higher returns and lower portfolio turnover.