Robert Litterman

Kepos Capital

620 Eighth Avenue

New York, NY 10018

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 1,531

SSRN RANKINGS

Top 1,531

in Total Papers Downloads

25,162

SSRN CITATIONS
Rank 3,942

SSRN RANKINGS

Top 3,942

in Total Papers Citations

49

CROSSREF CITATIONS

295

Scholarly Papers (6)

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Guangliang He, Guangliang He and Robert Litterman
IndependentGoldman Sachs Group, Inc. - Quantitative Strategy Group and Kepos Capital
Downloads 24,697 (120)
Citation 60

Abstract:

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

2.

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

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 266 (147,428)
Citation 8

Abstract:

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capital regulation

3.

Forecasting and Conditional Projection Using Realistic Prior Distributions

Number of pages: 81 Posted: 03 May 2004 Last Revised: 16 Oct 2021
Thomas Doan, Robert Litterman and Christopher A. Sims
Independent, Kepos Capital and Princeton University - Department of Economics
Downloads 115 (303,769)
Citation 64

Abstract:

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4.

Optimal Control of the Money Supply

Number of pages: 72 Posted: 19 Jun 2004 Last Revised: 01 Jul 2021
Robert Litterman
Kepos Capital
Downloads 42 (521,222)

Abstract:

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5.

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

Number of pages: 68 Posted: 19 Jun 2004 Last Revised: 13 Jun 2021
Robert Litterman and Laurence Weiss
Kepos Capital and Independent
Downloads 42 (521,222)
Citation 1

Abstract:

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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:

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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