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What is Black-Litterman with MGARCH-M Insights about?

This paper examines using univariate and multivariate GARCH models to derive views for the Black-Litterman asset allocation model. Previous research has found improved portfolio performance when incorporating GARCH-derived views compared to solely using market equilibrium weights. The paper estimates various GARCH specifications to generate return forecasts, which are then input into the Black-Litterman framework. Results show the Black-Litterman portfolios have higher return-to-risk ratios than market-cap

Author

Mohamed Hussien

Language

EN