Two-Factor Black-Litterman Model

So being done with Qian and Gorman has left me free to noodle with Krishnan and Mains 2005 paper on a two-factor Black-Litterman model. I'd like to try and replicate their results from the beginning, but that requires a lot of data. I've been able to take what data is in their paper and their equations and reproduce their results which I think is a good start.

The last bit of Black-Litterman that has piqued my interest is the fact that one should be able to back out the implied views from a return estimate vs the equilibrium values. Black and Litterman show this in their paper, but don't cover the math at all so it'd give me some room to run working on it. I expect it might be interesting to see the results as well.

Once this is done I think my Black-Litterman work will be on hiatus for a while so I can focus on some other things, my Entropy Diversification paper is calling out to really be finished as it's been suffering in a draft format for some time. A big apology to anybody who's downloaded it expecting it to be polished. Ouch!