0 0 By aquant Blog October 10, 2018 3month Long/Short portfolio following an enhanced version of Black-Litterman model. Return=9.41% , SR>0.9 , Max.Drawdown=2.7%. Monthly recalibration. aquant / About Author More posts by aquant Leave a comment Cancel reply Save my name, email, and website in this browser for the next time I comment. Send Comment
