Optimization: A Resampling Solution,”
Journal of Investment Management 6, 1 (2008), pp. 8–28. The Black–Litterman model is an equilibrium-based approach that incorporates an investor's views; it was proposed in Fischer Black and Robert Litterman, “Asset Allocation: Combining Investor Views with Market Equilibrium,”
Goldman, Sachs & Co., Fixed Income Research (1990). Various robust approaches including the ones mentioned here are detailed in
Chapter 4.
5
The approach was first introduced in Harry M. Markowitz, “Portfolio Selection,” Journal of Finance 7, 1 (1952), pp. 77–91; and also in Harry M. Markowitz, Portfolio Selection: Efficient Diversification of Investments (New Haven, CT: Yale University Press, 1959).
