APPLICATION MODEL BLACK - LITTERMAN A SELECTION OF INTERNATIONAL PORTFOLIOS
DOI:
https://doi.org/10.15381/quipu.v22i41.10075Keywords:
Black - Litterman, Markowitz, risk, portfolio managementAbstract
It shows how the model Black - Litterman in building a portfolio of international assets helps improve the application of the principles on which the theory of portfolio selection proposed by Markowitz is based, allowing a more robust approach for diversified por-tfolios whose weights are modified according to the expectations that have on the performance of each of the assets. The main benefit of the model Black - Litterman is that the portfolio manager can do the analysis iteratively until a portfolio consistent with their expectations, which is an excellent alternative for those investors looking to analyze each of the elements that can influence the performance of their portfolios.
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Copyright (c) 2014 Rafael Cruz Salazar, Arcadio Clement P.
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