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

被引：28
作者：
Beach S.L. [1 ]
Orlov A.G. [2 ]
机构：
[1] Department of Accounting and Finance, College of Business and Economics, Radford University, Radford
[2] Department of Economics, College of Business and Economics, Radford University, Radford
来源：
Financial Markets and Portfolio Management | 2007年 / 21卷 / 2期
关键词：
Black-Litterman; GARCH; Global portfolio management;
D O I：
10.1007/s11408-007-0046-6
中图分类号：
学科分类号：
摘要：
This paper provides an application of the Black-Litterman methodology to portfolio management in a global setting. The novel feature of this paper relative to the extant literature on Black-Litterman methodology is that we use GARCH-derived views as an input into the Black-Litterman model. The returns on our portfolio surpass those of portfolios that rely on market equilibrium weights or Markowitz-optimal allocations. We thereby illustrate how the Black-Litterman model can be put to work in designing global investment strategies. © Swiss Society for Financial Market Research 2007.
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页码：147 / 166
页数：19
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