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

被引：4

作者：

Bao Quoc Ta ^{[1
]}

Thao Vuong ^{[2
]}

机构：

[1] Banking Univ Ho Chi Minh City, Dept Math Econ, 39 Ham Nghi,Dist 1, Ho Chi Minh City, Vietnam

[2] Vietnam Natl Univ Ho Chi Minh City, Dept Math, Int Univ, Quarter 6, Thu Duc Dist, Hcmc, Vietnam

来源：

INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS | 2020年 / 28卷 / Supp01期

关键词：

Black-Litterman model; portfolio optimization; Markowitz model; ARIMA model; VIEWS;

D O I：

10.1142/S0218488520400097

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

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.

引用

页码：99 / 111

页数：13

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