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, December 13, 2008

Added a Reading List to blacklitterman.org

I've added a reading list RSS feed at blacklitterman.org. It's just getting started so not much content and a little creaky to use. It should improve over time as I get used to it.

My goal is to add links to papers with relevant content to the Black-Litterman model and Asset Allocation in general.

I've started out with a series of papers on Asset classes, and integrating them with the Black-Litterman model. Several of the papers are authored by Thomas Idzorek from Ibbotson.