Robert Litterman
Bob Litterman | |
---|---|
Born | 1951 |
Nationality | American |
Spouse | Mary Litterman |
Academic career | |
Institution | Kepos Capital |
Field | financial economics, asset pricing |
School or tradition | financial economics |
Alma mater | Stanford University University of Minnesota |
Contributions | Black–Litterman model |
Information at IDEAS / RePEc |
Robert Bruce Litterman (born 1951) is chairman of the Risk Committee and a founding partner of Kepos Capital in New York. Prior to Kepos Capital, Litterman spent 23 years at
Black–Litterman model
At Goldman Sachs, Litterman developed the Black–Litterman model together with Fischer Black in 1990.[2][3]
The model solves a seemingly simple yet perplexing problem: it is difficult to consistently estimate expected returns from various assets. The Black–Litterman model solves this problem by making expected returns an output, rather than an input, in the model. The model combines information from market equilibrium with views about returns of assets or combinations of assets, in order to generate the expected returns.
The
Climate policy work
Shortly after retiring from Goldman Sachs in 2009, Litterman moved, together with several other former Goldman partners such as Mark Tercek and Larry Linden, into the climate and environmental policy world.[5] (Tercek is now the present and CEO of The Nature Conservancy. Linden is the founder of the Linden Trust for the Environment, donating to several climate and environmental causes.)
Litterman serves as director of the
Litterman is a staunch advocate for a carbon tax.[1][9] He created the EZ Climate carbon pricing model, joint with Columbia University's Kent Daniel and Gernot Wagner.[10] He led the Climate-Related Market Risk Subcommittee of the Commodity Futures Trading Commission (CFTC).[11][12]
References
- ^ a b Roston, Eric (November 3, 2017). "There's One Unspeakable Fix That Would Help Pay for the GOP's Tax Cuts". Bloomberg.com.
- ^ a b c Mehrling, Perry; Brown, Aaron (December 2011). Fischer Black and the Revolutionary Idea of Finance. Wiley.
- ^ Djanga, Emmanuel (January 11, 2017). "The Black Litterman Model: Investment Theory Versus Market Reality | The Market Mogul". themarketmogul.com.
- ISBN 9780471480655.
- ^ Craig, Susanne; Protess, Ben; Rusli, Evelyn M. (16 May 2011). "The Goldman Sachs Diaspora". DealBook.
- ^ "Leadership". Woodwell Climate. Retrieved 2022-09-13.
- ^ "Robert Litterman | Climate Central". www.climatecentral.org.
- ^ "Robert Litterman | Leaders | WWF". World Wildlife Fund. Retrieved 19 December 2017.
- ^ Strauss, Karsten (29 November 2017). "Business Leaders Explore A Path Toward A Carbon Tax". Forbes.
- PMID 31575747.
- ^ "Climate-Related Market Risk Subcommittee | CFTC". www.cftc.gov.
- ^ Saphir, Ann (12 June 2020). "U.S. Regulator to report on climate risks to markets in July". Reuters.