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 …

Consideration of the global CAPM equilibrium can significantly improve the usefulness of
these models. In particular, equilibrium returns for equities, bonds and currencies provide …

The results obtained in five years of forecasting with Bayesian vector autoregressions (BVAR's)
demonstrate that this inexpensive, reproducible statistical technique is as accurate, on …

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 …

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 …

A tutorial on portfolio risk management describes how to identify the primary sources of risk
in complex portfolios-the hot spots-and how to identify the trades that will reduce those risks-…

This paper develops a forecasting procedure based on a Bayesian method for estimating
vector autoregressions. The procedure is applied to 10 macroeconomic variables and is …

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 …