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2020•International Journal of Uncertainty Fuzziness and Knowledge-Based SystemsRequires access

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

Bao Quoc Ta, Thao Vuong

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Abstract

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

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What this paper is about

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

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OpenAlex reports 5 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

Key concepts: Black–Litterman model, Portfolio optimization, Portfolio, Asset allocation, Capital asset pricing model, Post-modern portfolio theory, Stock market, Economics

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