ACADSTAFF UGM
| Title | : | A Short Review over Twenty Years on the Black-Litterman Model in Portfolio Optimization |
| Author | : |
RETNO SUBEKTI (1) Dr. Abdurakhman (2) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (3) |
| Date | : | 1 2021 |
| Keyword | : | Portfolio Optimization, Black Litterman, Review, CAPM, Bayesian, Investor Views Portfolio Optimization, Black Litterman, Review, CAPM, Bayesian, Investor Views |
| Abstract | : | This paper review aims to explain how the Black-Litterman approach for portfolio optimization works based on many references and perspectives. The explanation of the expected return of Black Litterman is derived from many devel- opments in both theory and practice. For over two decades, the Black-Litterman model has many extensions that have been generated from the data, methods, or portfolio performance. We summarize the relevant articles, from concept- centric and author-centric, to discover the potential areas in developing the original model. In the final section, we classify the extension of the Black-Litterman model based on the modified formula for the Black-Litterman return and propose future research |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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| No | Title | Action |
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| 1 |
A Short Review over Twenty Years on the Black-.pdf
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| 2 |
turnitin A Short Review.pdf
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| 3 |
A Short Review over Twenty Years on the Black-Litterman Model in Portfolio Optimization.pdf
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| 4 |
CS- Abd-A Short Review over Twenty Years on the Black-Litterman Model in Portfolio Optimization.pdf
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