Black-Litterman Prototype

Optimatika has, in cooperation with the Royal Institute of Technology in Stockholm (KTH), developed a prototype application of the Black-Litterman model for portfolio selection.

The Black-Litterman Model

Some recommended reading about the model:

• The Black-Litterman Model (pdf, 111 pages, Charlotta Mankert, KTH)
• A Step-By-Step Guide To The Black-Litterman Model (pdf, 34 pages, Thomas M. Idzorek, Zephyr Associates)
• Search for academic articles about the Black-Litterman model

The Prototype Application

The prototype application is online and available for you to try:

http://213.64.188.65:8080/BLApp/

Passwords that enable you to use the application are sent to your e-mail address. The return address of that e-mail gets you in contact with the developers. If there are problems that prevents you from getting a password you may use the ojAlgo-user mailing list to let us know. Other than that the ojAlgo-user mailing list is for discussions related to the ojAlgo code base.

The application/prototype is only of interest to those who know something about the Black-Litterman model.

Technicalities

The prototype application is a Java servlet. Apart from Java itself the prototype makes use of four open source code libraries.

• Wicket: A "clean" web application framework.
• PriDE: An ultra-thin and high-performance O/R mapper.
• JFreeChart: A chart library that makes it easy to display high quality charts.
• ojAlgo: The Black-LItterman model delegates to a Markowitz model that in turn generates a quadratic optimisation model that instantiates an active set solver that iteratively calls a lagrange solver. The solvers are implemented in terms of a matrix interface that is implemented using high-performance multi-dimensional arrays. The matrix interface comes coupled with various matrix decomposition implementations. All this is part of ojAlgo, and there's lots more...

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