Back to Black-Litterman

I pushed the draft of the Entropy paper to the website, but it is very rough. It's also a little discouraging as I was hoping for more statistically significant results. I did build an Interior Point solver with the KLIC measure as the objective and a quadratic constraint on the variance, but it seems there are some problems with the code or the math as the results are strange.

In the meantime, I am in the process of revising the Black-Litterman paper and adding some more content. I've decoded the Fusai-Meucci paper, "Assessing Views" given their MATLAB implementation. Now if only I could reproduce the original Black-Litterman results.