Jay's Asset Allocation Blog

Blog about my off-hours work on the problem of Asset Allocation including but not limited to Portfolio Optimization algorithms, algorithms and approaches for improved estimation of Asset Allocation inputs and other potentially related items.

Saturday, May 10, 2008

Black Litterman and the Global Equilibrium

I've been trying to figure out what Black and Litterman did in their original paper to go from the Global Equilibrium to the asset returns. I finally broke down and bought Litterman's book and chapter 6 seems to point the way. Lots of simultaneous equations to solve, and I still can't make heads of tails of what he writes enough to figure it out, but it's definitely the tool that is needed to unravel that mystery. I will be happy when I get that unsnarled and can explain it to somebody else.

1 Comments:

Blogger Peng said...

Yeah, I am in Chapter 6 of that book too. Also another questions, how do you find market cap of asset classes such as Commodity and High Yield Bond?

April 22, 2010 11:23 AM  

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