Since 2014
The Impact of Views on International Portfolio Selection
Journal Transition Studies Review
View Archive Info| Field | Value | |
| Title |
The Impact of Views on International Portfolio Selection
|
|
| Creator |
Stucchi, Patrizia
|
|
| Subject |
—
Asset allocation; Market portfolio; Reverse optimization; International optimal portfolios C1; G11 |
|
| Description |
We adopt the Black and Litterman approach in order to find optimal international portfolios and to investigate the sensitivity of their weights to investor’s subjective views. We consider fifteen international asset classes and two different sets of views. The results show that BL portfolios can have very different features changingthe views, but they are coherent with the views themselves. Resulting portfolios arerelatively highly concentrated in asset classes with the better perspectives and present strong negative weights in asset classes with the worst views. We repeat the trials excluding short selling: in the first scenario we obtain well diversified portfolio, while in the second the effect of views gives a more concentrated portfolio.
|
|
| Publisher |
Journal Transition Studies Review
|
|
| Contributor |
—
|
|
| Date |
2018-10-18
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
|
| Format |
application/pdf
|
|
| Identifier |
http://transitionacademiapress.org/jtsr/article/view/223
10.14665/1614-4007-25-1-004 |
|
| Source |
Journal Transition Studies Review; Vol 25, No 1 (2018); 39-47
1614-4015 1614-4007 |
|
| Language |
eng
|
|
| Relation |
http://transitionacademiapress.org/jtsr/article/view/223/144
|
|
| Coverage |
—
— — |
|
| Rights |
Copyright (c) 2018 Journal Transition Studies Review
|
|