In this article we demonstrate that the optimal portfolios generated by the Black-Litterman
asset allocation model have a very simple, intuitive property. The unconstrained optimal …

… Because the uncertainty in the mean is much smaller than the uncertainty in the return itself,
r will be close to zero. The equilibrium risk premiums together with rX determine the equilib…

… Ridge estimators correspond to setting R = I, the identity matrix, and r = 0, the p-dimensional
zero vector. Stein estimators are generated by taking R = X and r = 0. Other estimators of …

… In reporting our results, we give r values without the likelihood-maximizing rescalings. We
do so only because we were not computing the necessary statistics at early stages of the …

FISCHER BLACK AND ROBERT LITTERMAN nvestors create global bond portfolios for a
variety of reasons: to diversify interest rate risk, to manage yield, to control exposure to foreign …

This thesis presents the theory and application of using vector autoregressive techniques
for estimating and forecasting dynamic macroeconomic relationships. The major innovation …

This paper reexamines both monthly and quarterly US postwar data to investigate if the
observed comovements between money, real interestrates, prices and output are compatible …

This article describes a technique for distributing quarterly time series across monthly values.
The method generalizes an approach described by Fernández (1981). The article also …

A corporate bond is a contract in which the issuing corporation promises to pay interest and
principal on prespecified future dates in exchange for the use of cash today. The value of a …

… I , one cannot determine by observing the loadings R the difference between the loadings B
and … F by an orthonormal matrix T only changes the directions of the coordinate system for R. …