blacklitterman.org

What is blacklitterman.org

Headlines

MATLAB and SciLAB implementations of the model

RSS New Reading List

My paper on the Black-Litterman Model (Updated 16 February 2009)

An applet which implements the Black-Litterman model

BlackLitterman.org

This website is devoted to information on the Black-Litterman model. The Black-Litterman model for estimating asset returns is widely used in industry and has been widely studied in the academic and professional literature. Developed by Fischer Black and Robert Litterman in the early 1990's at Goldman Sachs, this model is used to estimate asset equilibrium returns and then to combine these returns with user views to derive updated estimates. These estimates can then be fed into a portfolio optimization tool to compute an efficient frontier.

About Us | Site Map | Privacy Policy | Contact Us | ©2000-2007 Jay Walters