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.

Wednesday, June 11, 2008

Global Equilibrium

I've been working on recreating the Global Equilibrium from Chapter 6 in Litterman's book. It's been an adventure as I've been learning how to use MATLAB/Scilab at the same time. I'm finally starting to get comfortable and able to do things more quickly in Scilab than in java which is good. I will be writing up what I've done, and posting the write up and the SciLab code to reproduce results up on the website hopefully in the next few weeks. Then it will be on to building some type of interesting Black-Litterman example.

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