Updated Black-Litterman paper
Finally, it's done. Feels like I've been working on this revision for months, though probably it's only been for a few weeks. Lots of changes and cleanup, uses Theil's approach like the original Black and Litterman paper and I think it is more clean than the last one which was a bit of a hatchet job in places.
Now I'm on to working on an example. I'll probably use some real but old market data (2005?) in order to have the feel of realism, but not be promoting anything for the current time. After all, this blog and website is about implementations of optimization and allocation tools.

1 Comments:
This post has been removed by the author.
Post a Comment
<< Home