The black-litterman model in central bank practice: study for Turkish Central Bank

• Main Authors: Ganikhodjaev, Nasir, Bayram, Kamola
• Format: Conference or Workshop Item
• Language: English; English; English
• Published: Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia 2016
• Subjects: QA Mathematics
• Online Access: 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; http://irep.iium.edu.my/50620/; http://einspem.upm.edu.my/journal/fullpaper/vol10sfeb/No17.pdf

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...