blacklitterman.org

Global Equilibrium

Headlines

A paper on the Black-Litterman Model (Updated May 2nd)

An applet which implements the Black-Litterman model

Global Equilibrium

This portion of the site contains descriptions and example SciLAB code which solves the 2 Country/2 Currency Global Equilibrium example from Litterman (2003). It also works through the 7 country (2 asset) example used in the original Black-Litterman (1992) paper.

Global Equilibrium (2 Country/2 Currency example) contains a description of the equations used to solve this problem as a linear system of equations. Is a SciLab (mostly MATLAB compatible) script for illustrating both the linear system of equations solution, and the solution as espoused in Litterman's book. Both methods reach the same answer.

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