A hybrid approach for generating investor views in Black–Litterman model

作者：

Highlights：

• We propose a hybrid approach to generate investor views in Black–Litterman model.

• GARCH econometric modeling is used to forecast technical indicators of the assets.

• Support Vector Regression is used to translate indicator forecasts to return forecasts.

• Return forecasts are used as views in BL model to generate portfolios with rolling data.

• The proposed model is applied to the BIST-30 Index and Dow Jones Index.

摘要

•We propose a hybrid approach to generate investor views in Black–Litterman model.•GARCH econometric modeling is used to forecast technical indicators of the assets.•Support Vector Regression is used to translate indicator forecasts to return forecasts.•Return forecasts are used as views in BL model to generate portfolios with rolling data.•The proposed model is applied to the BIST-30 Index and Dow Jones Index.

论文关键词：Portfolio optimization,Black–Litterman model,Support vector regression,GARCH modeling

论文评审过程：Received 18 October 2018, Revised 22 March 2019, Accepted 23 March 2019, Available online 23 March 2019, Version of Record 1 April 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.03.041