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Blog: 26 September 2011 | Design and Analytics

Blog: 26 September 2011

Useful Asset Allocation Data Sources

Working on a project on asset allocation right now, and discovered two excellent references.  The first is a solid guide and introduction to implementing the Black-Litterman model: http://www.blacklitterman.org/. This reference provides useful implementations in both Excel and Matlab, as well as a discussion of the inputs.  The discussion of the controversial and elusive Tao term is particularly helpful.

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