Monthly Archives: July 2012

The Parameter Tau in Idzorek’s Version of the Black-Litterman Model

Posted on July 20, 2012 by mzspivey

While on my sabbatical I spent some time working with Idzorek’s version [1] of the Black-Litterman asset allocation model.  I like Idzorek’s version because it gives an intuitive method for specifying one of the most complicated parts of the Black-Litterman … Continue reading →

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