blacklitterman.org

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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

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.

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©2000-2013 Jay Walters. The opinions expressed on this website are my own and not those of my employer.

This website is provided "as is" without any representations or warranties, expres or implied. All content provided on this site is for informational purposes only.