Black-Litterman model on non-normal stock return (Case study four banks at LQ-45 stock index)

Autor:	Lienda Noviyanti, Rizki Mahrivandi, Gatot Riwi Setyanto
Rok vydání:	2017
Předmět:	Rate of return on a portfolio Normal distribution Actuarial science Prior probability Econometrics Portfolio Business Black–Litterman model Stock market index Stock (geology) Weighting
Zdroj:	AIP Conference Proceedings.
ISSN:	0094-243X
DOI:	10.1063/1.4979429
Popis:	The formation of the optimal portfolio is a method that can help investors to minimize risks and optimize profitability. One model for the optimal portfolio is a Black-Litterman (BL) model. BL model can incorporate an element of historical data and the views of investors to form a new prediction about the return of the portfolio as a basis for preparing the asset weighting models. BL model has two fundamental problems, the assumption of normality and estimation parameters on the market Bayesian prior framework that does not from a normal distribution. This study provides an alternative solution where the modelling of the BL model stock returns and investor views from non-normal distribution.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fe17f5cf4b27ef330861a1da0bd4732a https://doi.org/10.1063/1.4979429 Zobrazit plný text záznamu