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,...
Saved in:
| 主要作者: | |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Animo Repository
2020
|
| 主題: | |
| 在線閱讀: | 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | De La Salle University |
| 語言: | English |