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The Black-Litterman Model For Portfolio Optimization On Vietnam Stock Market

Bao Quoc Ta, Thao Vuong

INTERNATIONAL JOURNAL OF UNCERTAINTY FUZZINESS AND KNOWLEDGE-BASED SYSTEMS（2020）

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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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Key words
Black-Litterman model, portfolio optimization, Markowitz model, ARIMA model
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