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.