published by adam on Mon, 09/26/2011 - 18:16
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.
