Open Source Finance

I am a big proponent of Open Source finance, which is roughly the idea that people should be able to reproduce results from finance papers with freely available data. One of my occasion frustrations working the Black-Litterman topic has been authors who won't respond to my requests for clarifications on what they did. Some authors have been quite happy to help and some don't give me the time of day.

Right now I'm going to try and reproduce some of the work in Anisa Salomons thesis in the area of using a posterior variance generated by the Black-Litterman formulas vs just using the prior variance of returns. She notes in her thesis that she saw worse results using an updated variance of returns, but doesn't show the results. Most of the data she used to get her results is freely available on the web and she put her SciLab code into her thesis, so give her a gold star for openness.