Robust Equity Portfolio Management - Fabozzi Frank J.

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Optimization: A Resampling Solution,” Journal of Investment Management 6, 1 (2008), pp. 8–28. The Black–Litterman model is an equilibrium-based approach that incorporates an investor's views; it was proposed in Fischer Black and Robert Litterman, “Asset Allocation: Combining Investor Views with Market Equilibrium,” Goldman, Sachs & Co., Fixed Income Research (1990). Various robust approaches including the ones mentioned here are detailed in Chapter 4.

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MATLAB documentations and a list of functions with examples are available at http://www.mathworks.com/products/matlab/

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A CVX user's guide and download details can be found at http://cvxr.com/cvx/

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The approach was first introduced in Harry M. Markowitz, “Portfolio Selection,” Journal of Finance 7, 1 (1952), pp. 77–91; and also in Harry M. Markowitz, Portfolio Selection: Efficient Diversification of Investments (New Haven, CT: Yale University Press, 1959).

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