goldman - Fixed Income Research GLOBAL FIXED INCOME...

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Andrew Bevan Kurt Winkelmann Fixed Income Research GLOBAL FIXED INCOME PORTFOLIO STRATEGY June 1998 Using the Black-Litterman Global Asset Allocation Model: Three Years of Practical Experience
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Goldman, Sachs & Co. Global Fixed Income Portfolio Strategy Fixed Income Research Acknowledgments We wish to acknowledge the comments and suggestions of Joanne Hill, Robert Litterman, Robert Litzenberger, Tom Macirowski, Scott McDermott, Victor Ng, and Scott Pinkus. Over the past three years, we have also re- ceived valuable feedback on our portfolio process from the Global Economics Group. Andrew Bevan London 44-171-774-1168 Kurt Winkelmann London 44-171-774-5545 Andrew Bevan is an Executive Director in the Economic Research Group at Goldman Sachs International in London. Kurt Winkelmann is an Executive Director in the Fixed Income Research Department at Goldman Sachs Interna- tional in London. Editor: Ronald A. Krieger This material is for your private information, and we are not soliciting any action based upon it. This report is not to be construed as an offer to sell or the solicitation of an offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. Certain transactions, including those in- volving futures, options, and high yield securities, give rise to substantial risk and are not suitable for all investors. The material is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. Opinions expressed are our current opinions as of the date appearing on this material only. While we endeavor to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent us from doing so. We and our affiliates, officers, directors, and employees, including persons involved in the preparation or issuance of this material, may, from time to time, have long or short positions in, and buy or sell, the securities, or derivatives (including options) thereof, of companies mentioned herein. No part of this material may be (i) copied, photocopied, or duplicated in any form, by any This material has been issued by Goldman, Sachs & Co. and/or one of its affiliates and has been approved by Goldman Sachs International, which is regu- lated by The Securities and Futures Authority, in connection with its distribution in the United Kingdom and by Goldman Sachs Canada in connection with its distribution in Canada. This material is distributed in Hong Kong by Goldman Sachs (Asia) L.L.C., in Japan by Goldman Sachs (Japan) Ltd., and in Sin- gapore through Goldman Sachs (Singapore) Pte. This material is not for distribution in the United Kingdom to private customers, as that term is defined under the rules of The Securities and Futures Authority; and any investments, including any convertible bonds or derivatives, mentioned in this material will
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This note was uploaded on 12/08/2011 for the course CIS 625 taught by Professor Michaelkearns during the Spring '12 term at Pennsylvania State University, University Park.

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goldman - Fixed Income Research GLOBAL FIXED INCOME...

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