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

Goldman Sachs The Goldman Sachs Group, Inc. ( ) is an American multinational investment bank and financial services company. Founded in 1869, Goldman Sachs is headquartered in Lower Manhattan in New York City, with regional headquarters in many internationa ...

, where he was head of the Quantitative Resources Group in Goldman Sachs Asset Management for 11 years, starting in 1998. Prior to that position, Litterman headed the firm-wide risk department from 1994 to 1998, and prior to that he was the co-head of the model development group in the research department of

' Fixed Income Division. Litterman received a Ph.D. in economics from the

University of Minnesota The University of Minnesota Twin Cities (historically known as University of Minnesota) is a public university, public Land-grant university, land-grant research university in the Minneapolis–Saint Paul, Twin Cities of Minneapolis and Saint ...

in 1980.

Black–Litterman model

, Litterman developed the Black–Litterman model together with

Fischer Black Fischer Sheffey Black (January 11, 1938 – August 30, 1995) was an American economist, best known as one of the authors of the Black–Scholes equation. Working variously at the University of Chicago, the Massachusetts Institute of Technology, ...

in 1990. 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 Black–Litterman model has become one of the standard models widely used by investors around the world to optimize portfolios. Litterman is the author of ''Modern Investment Management: An Equilibrium Approach'', together with Goldman Sachs Asset Management's Quantitative Resources Group.

Climate policy work

Since retiring from

in 2009, Litterman moved, together with several other former Goldman partners including Mark Tercek and Larry Linden, into the climate and environmental policy world. (Tercek was the president and CEO of

The Nature Conservancy The Nature Conservancy (TNC) is a global environmental organization headquartered in Arlington, Virginia, United States. it works via affiliates or branches in 79 countries and territories, as well as across every state in the US. Founded in ...

till 2019. Linden is the founder of the Linden Trust for the Environment, donating to several climate and environmental causes.) Litterman is director of the Woodwell Climate Research Center,

Resources for the Future Resources for the Future (RFF) is an American nonprofit organization, founded in 1952, that conducts independent research into environmental, energy, and natural resource issues, primarily via economics and other social sciences. Headquartered in ...

and Climate Central. He is on the boards of the

World Wildlife Fund The World Wide Fund for Nature (WWF) is a Swiss-based international non-governmental organization founded in 1961 that works in the field of wilderness preservation and the reduction of human impact on the environment. It was formerly named the ...

, Julie Wrigley Global Institute of Sustainability at

Arizona State University Arizona State University (Arizona State or ASU) is a public university, public research university in Tempe, Arizona, United States. Founded in 1885 as Territorial Normal School by the 13th Arizona Territorial Legislature, the university is o ...

, the Woods Institute for the Environment at

Stanford University Leland Stanford Junior University, commonly referred to as Stanford University, is a Private university, private research university in Stanford, California, United States. It was founded in 1885 by railroad magnate Leland Stanford (the eighth ...

, the Heller Hurwicz Economics Institute at the

, the

Commonfund Based in Connecticut, Commonfund is an American asset management firm founded in 1971 with a seed grant from the Ford Foundation. As a private nonprofit organization, the firm manages customized investment programs for endowments, foundations, pub ...

, and the Climate Leadership Council, founded by Ted Halstead. Litterman is an advocate for a

carbon tax A carbon tax is a tax levied on the carbon emissions from producing goods and services. Carbon taxes are intended to make visible the hidden Social cost of carbon, social costs of carbon emissions. They are designed to reduce greenhouse gas emis ...

. He created the EZ Climate

carbon pricing Carbon pricing (or pricing) is a method for governments to Climate change mitigation, mitigate climate change, in which a monetary cost is applied to greenhouse gas emissions. This is done to encourage polluters to reduce fossil fuel combustion, ...

model, joint with

Columbia University Columbia University in the City of New York, commonly referred to as Columbia University, is a Private university, private Ivy League research university in New York City. Established in 1754 as King's College on the grounds of Trinity Churc ...

's Kent Daniel and Gernot Wagner. He led the Climate-Related Market Risk Subcommittee of the

Commodity Futures Trading Commission The Commodity Futures Trading Commission (CFTC) is an Independent agencies of the United States government, independent agency of the US government created in 1974 that regulates the U.S. derivatives markets, which includes futures contract, fut ...

(CFTC).

References

{{DEFAULTSORT:Litterman, Robert 1951 births Living people 21st-century American economists Goldman Sachs people University of Minnesota College of Liberal Arts alumni Stanford University alumni Date of birth missing (living people) American financial economists