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.

Monday, July 13, 2009

Interesting papers

I've been reading two papers lately related to Black-Litterman and one that isn't. Mark Kritzman's paper on asset allocation in turbulent regimes is pretty interesting, I'm working on some code to try it out. On the Black-Litterman front, I've been checking out The Augmented Black-Litterman Model which covers a new way to integrate factor models with Black-Litterman. I've plans to write a paper comparing some results from a factor model for tactical asset allocation using Wing Cheung's methods and also the more straight forward two-step approach.

Finally I also came across A VaR Black-Litterman Model which is an interesting paper as well. The author goes into some depth of the implementation of their optimization algorithms which intrigues me as they cover a pretty complex problem with integer and linear constraints.