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.

Tuesday, November 25, 2008

Updating the Black-Litterman paper

Had to stop work on all the other fun things to update the paper on Black-Litterman. Turns out the section on Idzorek's method has some inconsistencies in the example tables (all the A ones don't make much sense), though the formulas and the results are all good. Anyways, that needs to be rewritten and I'm adding a section on Braga and Natale's work on TEV, probably a consistent example across Meucci and Fusai, and Braga and Natale to show how the two methods of measuring distance differ. I'd also like to add a third metric, but not finding one I like that much so far.

Then it's on to updating the website and adding some more SciLab scripts for various Black-Litterman examples.

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