BLACK-LITTERMAN YÖNTEMİNE DAYALI PORTFÖY OPTİMİZASYON ANALİZLERİ
PORTFOLIO OPTIMIZATION ANALYSIS BASED ON THE BLACK- LITTERMAN ASSET ALLOCATION MODEL
Author(s): Önder BüberköküSubject(s): Methodology and research technology, Financial Markets
Published by: Kafkas Üniversitesi Sağlık, Kültür ve Spor Daire Başkanlığı Dijital Baskı Merkezi
Keywords: Portfolio optimization; Black-Litterman model; risk parity approach;
Summary/Abstract: In this study, we analyse the performance of 12 different optimal portfolios created with the Black-Litterman (1992) model under alternative assumptions by taking 24 different stocks in the S&P500 index into account. The study findings show that this model can create well-diversified portfolios. The findings of the study also indicate that the use of the risk parity approach in determining the weights of the stocks that make up the benchmark portfolio and the increase in the expected return rate of the benchmark portfolio significantly increase the performance of the Black-Litterman model. Finally, the findings reveal that the optimal portfolios created by the Black-Litterman (1992) model outperform the market portfolio.
Journal: Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
- Issue Year: 12/2021
- Issue No: 24
- Page Range: 621-647
- Page Count: 27
- Language: Turkish