مقاله انگلیسی کاربرد مدل Black-Litterman اصلاح شده در مدیریت پرتفوی فعال
Abstract
Keywords
Introduction
Overview of examples with BL model usage
Algorithm for active management of BL - based portfolio
Application of the algorithm for active short term portfolio management
Numerical example
Conclusions
CRediT authorship contribution statement
Declaration of Competing Interest
Acknowledgement
References
ABSTRACT
An active policy for portfolio optimization is developed based on repetitive application of modified BlackLitterman (BL) portfolio model and new formal definition of the expert views. New subjective views are defined which are based on the differences between the historical mean asset returns and their implied return values. An algorithm for the implementation of active management with the modified BL model is derived. The active management policy allows using short time series of historical data of assets, providing portfolio optimization with limited set of assets. New market point is evaluated, because the small set of assets does not allow market index to be used as characteristics of the market. The new formalization of the expert views allows to be compared the Mean Variance and BL portfolios on common basis. The experiments and comparisons between the Mean Variance optimization and the modified BL problem give advantages to the last one.
Introduction
The active portfolio management relies on the proper forecasting of assets’ characteristics: risk and return. In modern portfolio theory such forecasts mainly contain assessments of previous, historical behavior of the assets’ returns. These forecasts strongly influence the input parameters of the portfolio problem and its solutions in this case can be far from the real market dynamics (Becker & Gürtler, 2010; Calvo, Ivora, &Liern, 2012; Garcıa, Quintana, Galvan, & Isasi, 2013; Gorgulho, Neves, & Horta, 2011; Jørgensen, 2016; Kolm, Tutuncu, & Fabozzi, 2014; Michaud, Esch, & Michaud, 2013; Sharpe, 1999; Walters, 2014).