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Black-Litterman Model in Vietnam Finance by Nguyễn Ngọc Phụng is a document available to read on EtoBox.
This thesis explores the Black-Litterman model for portfolio optimization using data from the Vietnam stock market from January 2015 to October 2019. The student, Vuong Thi Minh Thao, examines the Black-Litterman model and compares it to the traditional Markowitz model. Time series analysis and forecasting are used to estimate views to feed into the Black-Litterman model. The results show the implications of applying the Black-Litterman and Markowitz models and demonstrate differences in outcomes.
- Author
- Nguyễn Ngọc Phụng
- Language
- EN