Robert Litterman

Kepos Capital

620 Eighth Avenue

New York, NY 10018

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 1,305

SSRN RANKINGS

Top 1,305

in Total Papers Downloads

17,736

CITATIONS
Rank 3,058

SSRN RANKINGS

Top 3,058

in Total Papers Citations

179

Scholarly Papers (6)

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Guangliang He and Robert Litterman
Independent and Kepos Capital
Downloads 14,328 (112)
Citation 22

Abstract:

Baysian, Black-Litterman model, CAPM, mean-variance analysis, portfolio selection

2.

Building a Coherent Risk Measurement and Capital Optimisation Model for Financial Firms

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 12 Posted: 16 Nov 2007
Tim Shepheard-Walwyn and Robert Litterman
The National Academies - National Academy of Sciences (NAS) and Kepos Capital
Downloads 217 (107,105)
Citation 5

Abstract:

capital regulation

3.

Forecasting and Conditional Projection Using Realistic Prior Distributions

NBER Working Paper No. w1202
Number of pages: 81 Posted: 03 May 2004
Thomas Doan, Robert Litterman and Christopher A. Sims
Independent, Kepos Capital and Princeton University - Department of Economics
Downloads 73 (242,879)
Citation 122

Abstract:

4.

Optimal Control of the Money Supply

NBER Working Paper No. w0912
Number of pages: 72 Posted: 19 Jun 2004
Robert Litterman
Kepos Capital
Downloads 33 (366,782)
Citation 4

Abstract:

5.

Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data

NBER Working Paper No. w1077
Number of pages: 68 Posted: 19 Jun 2004
Robert Litterman and Laurence Weiss
Kepos Capital and Independent
Downloads 31 (352,999)
Citation 27

Abstract:

6.

Exotic Beta Revisited

Financial Analysts Journal, Vol. 70, No. 5, 2014
Posted: 23 Sep 2014
Kepos Capital LP, Kepos Capital, Kepos Capital, Kepos Capital and Kepos Capital

Abstract:

Portfolio Management, Asset Allocation, Risk Management, Portfolio Concepts from Capital Market Theory, Asset-Pricing Models, Portfolio Construction and Revision, Risk Management, Portfolio Risk Management, Risk Management Strategies