A Short Review over Twenty Years on the Black-Litterman Model in Portfolio Optimization

This paper review aims to explain how the Black-Litterman approach for portfolio optimization works based on many references and perspectives. The explanation of the expected return of Black Litterman is derived from many developments in both theory and practice. For over two decades, the Black-Litterman model has many extensions that have been generated from the data, methods, or portfolio performance. We summarize the relevant articles, from conceptcentric and author-centric, to discover the potential areas in developing the original model. In the final section, we classify the extension of the Black-Litterman model based on the modified formula for the Black-Litterman return and propose future research.