Robert Litterman
Robert Bruce Litterman | |
|---|---|
| Born | 1951 |
| Occupation(s) | Economist, risk manager |
| Years active | 1980–present |
| Known for | Co-creator of the Black–Litterman model |
Robert Bruce Litterman (born 1951) serves as chairman of the Risk Committee and is a founding partner at Kepos Capital, based in New York. Prior to establishing Kepos, he devoted 23 years to Goldman Sachs, where from 1998 he led the Quantitative Resources Group within Goldman Sachs Asset Management for over a decade. His previous roles at Goldman Sachs included heading the firm-wide risk division between 1994 and 1998, as well as co-leading the model development team in the Fixed Income Division's research sector. Litterman is recognized for co-creating the influential Black–Litterman model used in portfolio allocation.
He completed his Ph.D. in economics at the University of Minnesota in 1980.
Black–Litterman model
In 1990, while at Goldman Sachs, Litterman collaborated with Fischer Black to create the Black–Litterman model.
This model tackles the difficulty of forecasting expected returns by treating them as results generated from combining market equilibrium with investor opinions, rather than as predetermined inputs. By merging these elements, it enhances portfolio optimization processes.
The Black–Litterman model has gained widespread acceptance among investors worldwide for managing portfolios. Litterman also authored Modern Investment Management: An Equilibrium Approach together with the Quantitative Resources Group at Goldman Sachs Asset Management.
Climate policy work
Following his retirement from Goldman Sachs in 2009, Litterman engaged with several former Goldman colleagues, including Mark Tercek and Larry Linden, focusing on climate and environmental policy initiatives. (Tercek served as CEO of The Nature Conservancy until 2019; Linden established the Linden Trust for the Environment.)
He holds directorships at organizations such as the Woodwell Climate Research Center, Resources for the Future, and Climate Central. Additionally, he is a board member of institutions including the World Wildlife Fund, Julie Wrigley Global Institute of Sustainability at Arizona State University, Woods Institute for the Environment at Stanford University, Heller Hurwicz Economics Institute at the University of Minnesota, the Commonfund, and the Climate Leadership Council, which was founded by Ted Halstead.
A proponent of implementing a carbon tax, Litterman co-developed the EZ Climate carbon pricing framework alongside Columbia University's Kent Daniel and Gernot Wagner. He also chaired the Climate-Related Market Risk Subcommittee under the Commodity Futures Trading Commission (CFTC), working to incorporate climate-related risks into financial market assessments.