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, May 22, 2010

Administrative, Moved the blog

Ok, haven't blogged in forever and needed to move the url because of changes at blogger. I expect to get rocking again over the next few weeks. It was a very busy Spring with my teaching at BU, but that is done for the time being.

I recently read Mark Kritzman, et al's paper in the FAJ about the fallacy of the 1/N portfolio. I find it very interesting that a portfolio built using "reasonable" estimates for the returns outperforms the market portfolio and the 1/N portfolio. I am trying to figure out how this relates to my work on the Black-Litterman model.

I am starting a big update of the paper, lots of feedback over the last year. Still hearing from people who can't quite get a handle on tau so I'll be breaking out that section from the paper and making it separate.


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