Black Litterman insights

So I've been pondering Qian and Gorman's paper for the last week and finally made some progress tying it all back to the same Bayesian equations. I also came across an interesting note in their paper about the weights of assets not changing under certain circumstances. Sure enough, working back with the He and Litterman data I found that updating the posterior variance means that only assets with a view have their weights change. If you don't use an updated posterior variance as is more commonly done, the weights of all assets might change. It isn't always a large change, but it's easy enough to see it.

So now I am going to back track and read all the papers to see if any of the Black-Litterman specific papers observed this weight change or not change.

Over the weekend I also found what I think is the original Black-Litterman paper in the Journal of Fixed Income, September 1991. I'm hoping reading it might provide a few more insights into what they were thinking about when they came up with this model.