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.

Saturday, January 26, 2008

Updated Black-Litterman Paper

I'm noodling with how an individual investor would get the information required to use Black-Litterman. Asset class returns can be modelled using index ETFs as proxies so that piece is do-able, but where does one get asset class market capitalizations? The jury is still out.

In the meantime I've once again revised the paper and tried to clean it up some more, both in typos and getting rid of bad science.