Application of modified Black-Litterman model for active portfolio management

作者：

Highlights：

• Modification of the BL model allows its repetitive application in real time.

• Easy generation of expert views from short history of assets’ returns.

• The active portfolio management applies sequential usage of the modified BL model.

• The modified Black—Litterman and Markowitz solutions can be compared on common basis.

摘要

•Modification of the BL model allows its repetitive application in real time.•Easy generation of expert views from short history of assets’ returns.•The active portfolio management applies sequential usage of the modified BL model.•The modified Black—Litterman and Markowitz solutions can be compared on common basis.

论文关键词：Portfolio optimization,Operational research,Decision making,Active Black-Litterman model,Simulation

论文评审过程：Received 31 March 2020, Revised 28 July 2021, Accepted 3 August 2021, Available online 8 August 2021, Version of Record 12 August 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115719