[R-sig-finance] Portfolio optimization

P. Hénaff patrick.henaff at kermatheano.com
Thu Sep 22 21:33:37 CEST 2005

Hi Lorenzo

You might want to look at the Black-Litterman portfolio optimization model 
(google will give you links to relevent papers). The main advantage wrt 
Markowitz is that you do not have to provide return forecasts for all 
assets. You express your point of view in absolute term or in relative terms 
when you have one. Results are a lot more stable than Markowitz's model, and 
it is straight forward to implement.


Patrick Hénaff

More information about the R-sig-finance mailing list