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.

Tuesday, July 6, 2010

Updated the paper on tau

Ok, my focus is much clearer in the updated version of the document. Definitely quantified the impact of the various reference models and tried to make the concept of tau more clearly defined.

Will publish this to ssrn in the next few days.