Useful website for asset allocation

akutan.org is a website which presents an open source implementation (in Java) of portfolio optimization/asset allocation models.

There is notably an implementation of the Black-Litterman model with the source code available.

Detailed specifications of this model are furthermore available, written by the same author:

It is maybe complicated for a first asset allocator, but I think this is worth a read.

Thanks a lot for the reference. I was not aware of this project.

I haven't studied it in detail, but judging from the addressed topics, it looks as if asset allocation is dealt with as a necessary constituant of portfolio optimization.

For our ALM models, we are more interested in some kind of a rule based waterfall model of allocation. The rules describe under which circumstances something has to be sold or bought in a particular portfolio. And with waterfall, I mean that portfolios are typicaly arranged in tree like structures (a portfolio can contain other portfolios). And hence, these rules can refer to a state of the parent portfolio.