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, June 25, 2012

Update on blacklitterman.org

I am just in the process of working through all the examples posted on the site. I now have python, Excel, Matlab, Scilab and java). They all tie out to 6 digits for the simple He and Litterman example. I will be adding the example from Idzorek's paper next.

I've also been reading some papers, and should be updating the RSS feed in a few days. I like the latest work from Mark Kritzman, et al on turbulence.

In the meantime I am also working on a paper illustrating the use of the Black-Litterman model with a multi-factor model to generate the views. I was a little distracted with a side project to learn python and the pandas library for quantitative work, but in the end decided Matlab or java is the way to go forward.


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