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, April 12, 2008

A real example

I've been thinking some time I'd like to come up with a new example to work for Black-Litterman and show all the bits and pieces, and I've started to pull that together. I am looking for market cap information on US bonds now, having found adequate information on the equity side of things already. I'll keep the number of asset classes down for simplicity. Not sure how quickly I'll get this done, if you have any good ideas on sources of market cap information let me know. As for the returns/covariances, I'll be using ETFs as investable proxies for all the asset classes .

In the meantime, I'm also in the middle of a major reorganization of my Black-Litterman paper to change over from the Bayesian point of view to Theil's model of mixed estimation which is how Black and Litterman got it done. I think it's more clear and less baggage. I am hoping to get this out in another week or so.