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.

CVaR

After switching to use the GPL open source linear optimizer lp_solve I can now optimize an asset allocation with a CVaR objective. It does not look quite as exciting as I had hoped, and it is slow, but it will be an interesting new tool in the toolbox.

Next stop will probably be back to work on some Black-Litterman ideas and maybe providing some richer (but accessible) tools which implement it. I still have in the back of my mind that I'd like to know if using posterior variance makes the results better or worse. I would also like to come up with a standard set of data to apply across all the various methods so that they could be compared apples to apples in one place.

Always lots to do.