Updated Paper (reprise)

I updated the paper with a few more tweaks and it's up on the site. I've also posted it to ssrn. The next area I plan on working on here is a multi-factor model to generate the views. Anisa Salomons wrote a thesis on Black-Litterman which I've mentioned before in the blog, and it is her example I'm trying to make a bit more transparent and document so others can easily reproduce it. I've finally tracked down all the data I need (and that I think she used), now I just need to get the scripts in place to do the work. One area I look forward to trying out, is whether using a posterior variance improves the results or does not. She states that she tested this and it was worse, but didn't include any evidence in her thesis and it wasn't on topic.

In project news my move to cleanup the javadocs and get everything squared away for a 1.0 release is coming along. Still have a ways to go, but it's feeling a little closer each day. Hoping to have it done in the next 2 weeks.