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, February 4, 2009

MATLAB Black-Litterman

Finally have access to MATLAB so I was able to port the He and Litterman paper example from SciLab to MATLAB and put it up on the website. Next step will be to move the Idzorek example over as well.

My next project will be to work an example from the literature which generates the views from a multi-factor model. There are a few of these, and Anisa Salomans thesis provides her SciLab source code and I have been able to find all the data freely on the internet.