| Popis: |
In this paper we study the application of the Black-Litterman model to an active fixed-income portfolio management. We present a rigorous derivation of the model in a general setting and then move on to apply it to active management. We derive the characteristics of the fixed-income portfolio we wish to manage, comprising government bonds, inflation-linked bonds and currencies and present results derived from the application of the BlackLitterman model. We also introduce and use some risk management tools to assess the benefits of using the Black-Litterman model. Finally, we discuss a way to calculate a sound covariance matrix to be used in the optimization process. |
