Модификация в модела на Black-Litterman (bl) при определяне на субективни прогнози
Modification In The Black-Litterman (Bl) Model In Determining Subjective Predictions

Author(s): Miroslav Vladimirov, Todor Stoilov, Krasimira Stoilova
Subject(s): Business Economy / Management, Financial Markets
Published by: Икономически университет - Варна
Keywords: formal description of subjective forecasts in the BL model; risk and portfolio valuation; investment resource management
Summary/Abstract: A new way to determine expert estimates is made, which is an essential element in the BL model. Subjective estimates are determined by analyzing the additional properties of historical data from the price dynamics of financial assets. It has been shown that this way of calculating subjective predictions allows additional parameters to be determined in the BL model.

• Details
• Contents