Zastosowanie modelu Blacka-Littermana do wyboru portfela inwestycyjnego

• Authors: Agnieszka Orwat-Acedańska

Title variants

EN

Using the Black-Litterman Model in Portfolio Selection

• Languages of publication: PL

Abstracts

EN

The paper aims at implementing the original Black-Litterman model and its slight modification to portfolio selection problem using data on sector indices from Polish stock market. The resulted portfolios' characteristics are dynamically compared with characteristics of classical Markowitz portfolio obtained from different estimation and verification sample lengths. The results clearly suggest that the portfolios that averaged shares from Black-Litterman and Markowitz procedure offered reasonable trade-off between returns and risk. Namely in most cases they exhibited the lowest realized risk whereas their returns were between the returns for BL and Markowitz portfolios.

Keywords

PL

Portfel inwestycyjny; Ryzyko inwestycyjne; Stopa zwrotu

EN

Investment portfolio; Investment risk; Rate of return

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 192
• Pages: 83-100

Contributors

author

Agnieszka Orwat-Acedańska

References

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Identifiers

ISSN

2083-8611