Package org.akutan.blacklitterman

Provides classes which implement the Black-Litterman model and various extensions.

See:
          Description

Class Summary
BlackLitterman This class encapsulates the top level Black-Litterman functionality in terms of backing the risk aversion out of the market portfolio, and then on to calculating the expected return with views.
BLResults This class holds results from a Black-Litterman mixing operation.
BLView Models a single view in the Black-Litterman model.
BLViews  
FusaiMeucci Provides test data and harness to reproduce the results from the Fusai and Meucci paper on assessing views for the Black-Litterman portfolio optimization method.
HeLitterman Provides test data and harness to reproduce the results from the He & Litterman paper on the Black-Litterman portfolio optimization method.
IdzorekBLExample This class implements the method described in Idzorek (2005) of driving the variance of the views from the confidence level by linearl solution of the variance to match the expected change in weight of the unconstrained portfolio.
KrishnanMains Provides test data and harness to reproduce the results from the Krishnan & Mains 2 factor Black-Litterman paper published in Risk magazine.
MeanVariance  
 

Package org.akutan.blacklitterman Description

Provides classes which implement the Black-Litterman model and various extensions.

The Black-Litterman model master formula for estimated returns is

Package Specification

Related Documentation

For further information on the algorithms used please see

Since:
22 January 2009