Application of the Black-Litterman model (BL) with optimization on the Philippine Stock Exchange index (PSEi) from 2013 to 2019

• Main Author: Navarro, Carlos Roberto Q.
• Format: text
• Language: English
• Published: Animo Repository 2020
• Subjects: Stocks—Rate of return; Portfolio management; Finance and Financial Management
• 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
• Institution: De La Salle University

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,...