The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market-Reference-Cited by-同舟云学术

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

Published:2020-08-28 Issue:Supp01 Volume:28 Page:99-111
ISSN:0218-4885
Container-title:International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
language:en
Short-container-title:Int. J. Unc. Fuzz. Knowl. Based Syst.

Author:

Ta Bao Quoc¹^ORCID,Vuong Thao²

Affiliation:

1. Department of Mathematical Economics, Banking University of Ho Chi Minh City, 39 Ham Nghi, District 1, Ho Chi Minh City, Vietnam

2. Department of Mathematics, International University, Vietnam National University of Ho Chi Minh City, Quarter 6, Linh Trung Ward, Thu Duc District, HCMC, Vietnam

Abstract

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

Publisher

World Scientific Pub Co Pte Lt

Subject

Artificial Intelligence,Information Systems,Control and Systems Engineering,Software

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218488520400097

Reference13 articles.

1. An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management

2. Inverse Optimization: A New Perspective on the Black-Litterman Model

3. Asset Allocation

4. Global Portfolio Optimization

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