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.

Friday, May 2, 2008

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:

Blogger Jay said...

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May 2, 2008 9:28 PM  

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