Black-Litterman Theses


RSS Reading List

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


This section includes links to some theses which have been written on the Black-Litterman model. Some are in english, some in other languages. Thesis tend to include more explanation than academic papers, sometimes they also include source code and other artifacts which can be useful.

The Black-Litterman Model - Mathematical and Behavioral Finance Approaches Towards its Use in Practice, Mankert, 2006. Licentiate Thesis. This masters thesis was written by a student who implemented Black-Litterman for a Swedish Bank and noted that there wasn't a lot of good literature on the subject. She has some good detail on derivations of the core formulas of the Black-Litterman model, and provides new insights into the model by a novel derivation using sampling theory. She doesn't provide all the formulas needed and doesn't provide much in the way of worked examples. Still a very good source of information on the Black-Litterman model.

Modelo Black-Litterman Aplicacion a los FPO is a thesis by Mateo Eduardo Trujillo Segura on the application of the Black-Litterman model to Columbian Mandatory pension funds. It is a good reference to the Black-Litterman model in Spanish.



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