Karthika Show more Get rights and content Under a Creative Commons license open access Abstract The Markowitz mean-variance optimization algorithm, in conjunction with the enhanced Black Litterman model for estimating expected return of asset returns of Bombay Stock Exchange (BSE), is developed to solve the asset allocation problem.The estimation of expected rate of returns of assets is done by combining economical analysis and technical analysis.
Black Litterman Global Portfolio Optimization License Open AccessThis paper deals with the issues in the prediction of expected rate of return by using the Black Litterman Model which combines both public and private views. The resulting predicted expected rate of the return vector is given as the input to the Markowitz Mean variance portfolio optimizer to get the better asset allocation model. Bombay Stock Exchange (BSE Sensex) dataset is used and the algorithm is implemented using MATLAB. Black Litterman Global Portfolio Optimization Full Text InPrevious article in issue Next article in issue Keywords Portfolio Optimization Asset Allocation CAPM Bootstrapping views Generalized Least square method Black Litterman model Markowitz mean-variance principle Download full text in PDF Recommended articles Citing articles (0) Copyright 2012 Published by Elsevier Ltd. Citing articles Article Metrics View article metrics About ScienceDirect Remote access Shopping cart Advertise Contact and support Terms and conditions Privacy policy We use cookies to help provide and enhance our service and tailor content and ads. Copyright 2020 Elsevier B.V. ScienceDirect is a registered trademark of Elsevier B.V.
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