<t>The formula is in the middle of page 35 of “Global Portfolio Optimization,” by Fischer Black and Robert Litterman (Financial Analysts Journal, September-October, 28-43).Wai Lee’s book Advanced Theory and Methodology of Tactical Asset Allocation published by Wiley & Sons offers some intuition ...

<t>Fashionmarina – Remember that the Black-Litterman model simply leads you to a set of returns. In other words the BL model is a model for combining information about returns – the CAPM returns with view returns.The CAPM returns are typically calculated using the reverse optimization method describ...

Nothing truly new to add…Articles / working papers on variations on higher moment portfolio selections models seem to be popularSurplus optimization seems to be making a come backMulti-period portfolio selection models…

<r>I would question the applicability of the standard BL model in a fund of funds setting given the arbitrary nature of the market cap of a fund, nevertheless, have a look at…<URL url="http://www.edhec-risk.com/features/RISKReview.2005-12-19.1651/attachments/Investing%20in%20Hedge%20Funds.pdf"><LINK...

<r>The Microsoft Excel web query described at <URL url="http://support.microsoft.com/?kbid=213730">http://support.microsoft.com/?kbid=213730</URL> does not seem to work.I would appreciate any assistance on getting the following bit of code to work.Sub URL_Get_Query() With ActiveSheet.QueryTables.Add...

Thanks!

Can you please provide some references to papers that have applied the CAPM to commodities?

Sharpe 1974

Total Value of Residential Real EstateI would appreciate specific links or ideas on how to estimate the total market value of residential real estate in the US.

<t>Regarding your attempt to find a positive historical risk-premium, I’m not convinced that you aren’t looking at an unhedged index.Fortunately, the forward looking risk premium is one the easiest, most agreed upon numbers of finance . There is a ton of literature on risk premia and I view this as ...

<t>Which risk-free rate are using? How are you treating currencies / currency risk?Remember that the risk premium does not need to come from historical data. So even if the historical excess return is negative, expectations may warrant a positive premium. If you believe the long-term risk premium is...

<t>While you can estimate the risk premium using historical data, this should be your best forecast of the forward looking risk premium. For most applications this is more of a long-term equilibrium premium. At any given point in time you may believe that a given market is not in equilibrium. This t...

I would appreciate advice / links on how to create a 3D surface graph in Excel. I have three columns of data, X, Y, and Z. All of my X Y points correspond to a Z value of 0, 1, 2, 3, 4, or 5.I would also appreciate 3D graphing add-in recommendations.Thanks.

<t>Are asset class returns normally distributed?What are the recommended tests to determine if a return distribution is statistically different from a normal distribution?What are the popular papers / studies on this subject?I would appreciate it if people could post Excel examples or papers related...

<t>I was hoping to get a range of possible values. For example, as I understand it one asset allocation software maker takes the square root of the largest singular value divided by the smallest singular value. If this value is greater than 20 they don’t continue. How would one have arrived at this ...