Tag Info

Hot answers tagged

3

Jay Walter's Paper on "The Factor Tau in the Black-Litterman Model" http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1701467 is also useful to review


2

I don't believe there is one generally accepted method and a number of papers are written on this issue. The Black-Litterman Approach: Original Model and Extensions (2008) by Meucci has an overview and I believe is generally useful to learn more. It suggests using $\tau = \frac{1}{T}$ but notes more complicated approaches exist. A demystification of the ...


1

There is also http://www.blacklitterman.org/ Where you can find an implementation under Excel and Matlab of the Model.



Only top voted, non community-wiki answers of a minimum length are eligible