Publications & Presentations
An application of the Black-Litterman model with EGARCH-M-derived views for international portfolio management
Document Type
Article
Publication Date
6-2007
Abstract
This paper provides an application of the Black-Litterman methodology to portfolio management in a global setting. The novel feature of this paper relative to the extant literature on Black-Litterman methodology is that we use GARCH-derived views as an input into the Black-Litterman model. The returns on our portfolio surpass those of portfolios that rely on market equilibrium weights or Markowitz-optimal allocations. We thereby illustrate how the Black-Litterman model can be put to work in designing global investment strategies
Recommended Citation
Beach, S. L., & Orlov, A. G. (2007). An application of the black-litterman model with EGARCH-M-derived views for international portfolio management. Financial Markets and Portfolio Management, 21(2), 147-166. doi:http://dx.doi.org/10.1007/s11408-007-0046-6