Advertisement

Market Timing with the Black-Litterman Model

  • Ugo Pomante
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

The portfolio construction issues have stimulated an intense debate in both academic and practitioner communities. In more than half a century, asset managers and academics have developed a set of almost unlimited asset allocation techniques.

Keywords

Portfolio Selection Expected Return Asset Allocation Asset Class Portfolio Weight 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Best, M. J. and R. R. Grauer (1991a) ‘Sensitivity analysis for mean-variance portfolio problems’, Management Science, 37, 980–99.CrossRefGoogle Scholar
  2. —(1991b) ‘On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computationals results’, Review of Financial Studies, 4, 315–42.Google Scholar
  3. Black, F. and R. Litterman (1991) ‘Asset allocation: Combining investor views with market equilibrium’, Journal of Fixed Income, 1, 7–18.CrossRefGoogle Scholar
  4. (1992) ‘Global portfolio optimization’, Financial Analysts Journal, 48, 28–43.Google Scholar
  5. Frankfurter, G. M., H. E. Phillips and J. P. Siegle (1971) ‘Portfolio selection: The effects of uncertain mean, variances, and covariances’, The Journal ofFinancial and Quantitative Analysis, 6, 1251–62.CrossRefGoogle Scholar
  6. Jobson, J. D. and B. Korkie (1980) ‘Estimation for Markowitz efficient portfolios’, Journal of the American Statistical Association, 75, 544–54.CrossRefGoogle Scholar
  7. (1981) ‘Potential performance and tests of portfolio efficiency’, Journal ofFinancial Economics, 10, 433–66.Google Scholar
  8. Jorion, P. (1985) ‘International portfolio diversification with estimation risk’, Journal of Business, 58, 259–78.CrossRefGoogle Scholar
  9. Lintner, J. (1965) ‘The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets’, Review of Economics and Statistics, 47, 13–37.CrossRefGoogle Scholar
  10. Markowitz, H. M. (1952) ‘Portfolio selection’, Journal of Finance, 7, 77–91.Google Scholar
  11. —(1959) Portfolio Selection. Efficient Diversification of Investments (New York: John Wiley & Sons).Google Scholar
  12. Meucci, A. (2005) Risk and Asset Allocation (Berlin Heidelberg: Springer).CrossRefGoogle Scholar
  13. Mossin, J. (1966) ‘Equilibrium in a capital asset market’, Econometrica, 34, 768–83.CrossRefGoogle Scholar
  14. Sharpe, W. F. (1964) ‘Capital asset prices: A theory of market equilibrium under conditions of risk’, Journal of Finance, 19, 425–42.Google Scholar

Copyright information

© Ugo Pomante 2013

Authors and Affiliations

  • Ugo Pomante

There are no affiliations available

Personalised recommendations