Application of the Black-Litterman model (BL) with optimization on the Philippine Stock Exchange index (PSEi) from 2013 to 2019
The BL model is a great jump from traditional optimization models because it provides a more realistic model in the field of portfolio management. By incorporating a market equilibrium and investor views, the BL model addressed most of the weaknesses of other optimization models. While not perfect,...
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| Format: | text |
| Language: | English |
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Animo Repository
2020
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| Online Access: | https://animorepository.dlsu.edu.ph/etd_masteral/6266 https://animorepository.dlsu.edu.ph/context/etd_masteral/article/13300/viewcontent/Navarro_CarlosRobertoQuerubin_11486163_1_Edited.pdf |
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| Institution: | De La Salle University |
| Language: | English |