blacklitterman.org

Asset Classes Resources

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My paper on the Black-Litterman Model (Updated 20 June 2014), Accompanying MATLAB codes also on the site

A new spreadsheet which illustrates the differences between the reference models.

A new paper Reconstructing Black-Litterman is now available at SSRN. This paper offers a critique of Michaud et al's recent paper, Deconstructing the Black-Litterman Model, from the Journal of Investment Management.

The author's methods section has been updated with a new taxonomy of the model, and many papers have been added.

A new implementation of the Black-Litterman model in Excel is available on the implementations page.

An implementation of the Black-Litterman model in python and the worked example from the He and Litterman 1999 paper (Updated Jun 22 2012)

An excel spreadsheet showing the example worked in the He and Litterman paper (Updated Jun 26 2012)

New paper focusing on Tau and if you really need it (Updated 1 November 2010)

MATLAB and SciLAB implementations of the model

An applet which implements the Black-Litterman model

One of the harder problems in trying to use the Black-Litterman model is finding data on the market capitalization of the various assets to be used. I get many requests for help in this area, and now this page will contain links to sources of asset class market capitalization data. Please let me know if these links are out of date, or better ones are available.

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