Minimizing Risk of Black-Litterman Portfolio Using Genetic Algorithms

被引：1

作者：

El Hachloufi, Mostafa ^{[1
]}

El Haddad, Mohammed ^{[1
]}

El Attar, Abderrahim ^{[2
]}

机构：

[1] Univ Mohammed 5, Fac Law Econ & Social Sci Agdal, Rabat, Morocco

[2] Mohamed V Univ, Fac Sci Rabat, Rabat, Morocco

来源：

INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS | 2016年 / 55卷 / 01期

关键词：

Black-Litterman; CAPM; Portfolio optimization; Genetic algorithm; Black-Scoles; Minimizing Risk; Maximizing Return;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we present a new approach which minimizes the risk of Black-Litterman portfolio using genetic algorithms This approach consists of replacing the CAPM model by the Black-Scoles model to retain the views that optimize investor expectations and finally to choose the degree of uncertainty in parameter in to maximize the return and minimize portfolio risk. This approach is an aid to decision making for the portfolio managers in the financial market.

引用

页码：51 / 58

页数：8