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, where he was head of the Quantitative Resources Group in

Goldman Sachs Asset Management Goldman Sachs () is an American multinational investment bank and financial services company. Founded in 1869, Goldman Sachs is headquartered at 200 West Street in Lower Manhattan, with regional headquarters in London, Warsaw, Bangalore, Hong ...

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 Goldman Sachs' Fixed Income Division. Litterman received a Ph.D. in economics from the University of Minnesota in 1980.

Black-Litterman model

At Goldman Sachs Litterman developed the

Black–Litterman model In finance, the Black–Litterman model is a mathematical model for portfolio allocation developed in 1990 at Goldman Sachs by Fischer Black and Robert Litterman, and published in 1992. It seeks to overcome problems that institutional investors ha ...

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. Background Fischer Sheffey Black was born on January 11, 1938. He graduated from Harvard ...

in 1990. The model solves a seemingly simple yet perplexing problem: it is difficult to consistently estimate expected returns from various assets. The

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

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

's Quantitative Resources Group.

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. (Tercek is now the present and CEO of

The Nature Conservancy The Nature Conservancy (TNC) is a global environmental organization headquartered in Arlington, Virginia. it works via affiliates or branches in 79 countries and territories, as well as across every state in the US. Founded in 1951, The Nat ...

. Linden is the founder of the Linden Trust for the Environment, donating to several climate and environmental causes.) Litterman serves as director of the

Woodwell Climate Research Center Woodwell Climate Research Center, formerly known as the Woods Hole Research Center (WHRC) until August 2020, is a scientific research organization that studies climate change impacts and solutions. The International Center for Climate Governance n ...

World Wildlife Fund The World Wide Fund for Nature Inc. (WWF) is an 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 Wo ...

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 Climate Central is a nonprofit news organization that analyzes and reports on climate science. Composed of scientists and science journalists, the organization conducts scientific research on climate change and energy issues, and produces multimed ...

. He also serves on the economic advisory council of the

Environmental Defense Fund Environmental Defense Fund or EDF (formerly known as Environmental Defense) is a United States-based nonprofit environmental advocacy group. The group is known for its work on issues including global warming, ecosystem restoration, oceans, and hu ...

, and he serves on the boards of the Julie Wrigley Global Institute of Sustainability at Arizona State University, the Woods Institute for the Environment at Stanford University, the Heller Hurwicz Economics Institute at the

University of Minnesota The University of Minnesota, formally the University of Minnesota, Twin Cities, (UMN Twin Cities, the U of M, or Minnesota) is a public land-grant research university in the Twin Cities of Minneapolis and Saint Paul, Minnesota, United States. ...

, 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, pu ...

, and the Climate Leadership Council, founded by

Ted Halstead Ted Halstead (July 25, 1968 – September 2, 2020) was an American author, policy entrepreneur, and public speaker who has founded four non-profit think tanks and advocacy organizations: the Climate Leadership Council, Americans for Carbon ...

. Litterman is a staunch advocate for a

carbon tax A carbon tax is a tax levied on the carbon emissions required to produce goods and services. Carbon taxes are intended to make visible the "hidden" social costs of carbon emissions, which are otherwise felt only in indirect ways like more sev ...

. He created the EZ Climate

carbon pricing Carbon pricing (or pricing), also known as cap and trade (CAT) or emissions trading scheme (ETS), is a method for nations to reduce global warming. The cost is applied to greenhouse gas emissions in order to encourage polluters to reduce the co ...

model, joint with

Columbia University Columbia University (also known as Columbia, and officially as Columbia University in the City of New York) is a private research university in New York City. Established in 1754 as King's College on the grounds of Trinity Church in Manhatt ...

's Kent Daniel and

Gernot Wagner Gernot Wagner (1980 in Austria) is a climate economist at Columbia Business School. He holds an AB and a PhD in political economy and government from Harvard University, as well as an MA in economics from Stanford University. A founding co-direct ...

. He leads the Climate-Related Market Risk Subcommittee of the Commodity Futures Trading Commission (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)