The black-litterman model in central bank practice: study for Turkish Central Bank
The Modern Portfolio Theory is based on Markowitz Mean-Variance portfolio optimization. The Black-Litterman Model uses a Bayesian approach which combines expert’s views about assets involved in optimization with equilibrium returns implied by market capitalization weights, and as a result we get exp...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English English English |
| Published: |
Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia
2016
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/50620/ http://irep.iium.edu.my/50620/ http://irep.iium.edu.my/50620/6/50620-new.pdf http://irep.iium.edu.my/50620/7/50620-slides.pdf http://irep.iium.edu.my/50620/8/50620-The%20black-litterman%20model%20in%20central%20bank%20practice_SCOPUS.pdf |