APPLICATION MODEL BLACK - LITTERMAN A SELECTION OF INTERNATIONAL PORTFOLIOS

• Autores: Cruz Salazar, Rafael, Clement P., Arcadio
• Formato: artículo
• Fecha de Publicación: 2014
• Institución: Universidad Nacional Mayor de San Marcos
• Repositorio: Revistas - Universidad Nacional Mayor de San Marcos
• Lenguaje: español
• OAI Identifier: oai:ojs.csi.unmsm:article/10075
• Enlace del recurso: https://revistasinvestigacion.unmsm.edu.pe/index.php/quipu/article/view/10075
• Nivel de acceso: acceso abierto
• Materia: Black - Litterman; Markowitz; risk; portfolio management; riesgo; administración de portafolios

It shows how the model Black - Litterman in building a portfolio of international assets helps improve the application of the principles on which the theory of portfolio selection proposed by Markowitz is based, allowing a more robust approach for diversified por-tfolios whose weights are modified according to the expectations that have on the performance of each of the assets. The main benefit of the model Black - Litterman is that the portfolio manager can do the analysis iteratively until a portfolio consistent with their expectations, which is an excellent alternative for those investors looking to analyze each of the elements that can influence the performance of their portfolios.