RSS Reading List

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

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

An applet which implements the Black-Litterman model


This site provides a source of information on the Black-Litterman Model for estimating returns and covariances for input to optimization models. Over time we expect to enrich the information available on this site, and to continue to add links to other interesting external resources.

How to Implement Black-Litterman provides a cookbook on the Black-Litterman method. If you just want to get to the details and write some code, this is the quickest way. There is now also an excel spreadsheet with the He and Litterman example worked. When you want to dig deeper into the model, papers has all the details you will need.

For more details on the Black-Litterman Model, you might find the discussion of Tau useful as it provides some background on the confusing parameter Tau and describes how it can be used, or not depending on how you use the model. Author's methods provides a comparison between the actual implementations of Black-Litterman used by the various authors.

The Global Equilibrium examples pull together some simple examples from the Global Equilibrium chapter of Litterman's book. The long term goal is to duplicate the model used by Black and Litterman in their initial paper. I have some ways to go before I can work a 7 country-two asset example.

Additional Resources

Resources have now been moved into seperate pages for papers, theses and implementations in order to keep the front page a bit more clean.

I've added the readling list as a list of papers which I am reading, or have recently found which are relevant to the Black-Litterman model, or to the topic of asset allocation.

Information on general topics in financial informatics can be found at

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