The study of mixed assets allocation based on Black–Litterman model

2021 ◽  
pp. 2150022
Author(s):  
Jianwu Lin ◽  
Mengwei Tang ◽  
Jiachang Wang ◽  
Ping He
Keyword(s):  
Stock Market ◽  
Asset Allocation ◽  
Private Equity ◽  
Equity Market ◽  
Research Topic ◽  
Allocation Model ◽  
Quantitative Models ◽  
Challenging Research ◽  
Qualitative Models ◽  
New Type

With Private Funds having a new type of license for asset allocation practice in China, comprehensive asset allocation cross private equity and stock market has received more attention. However, most of the studies focus more on the stock market, and asset allocation models for private equity market that are mainly made based on experience. Thus, the joint allocation of assets crosses both markets making it a challenging research topic. This paper introduces the Black–Litterman model into the private equity market, realizing the transition from qualitative models to quantitative models. It lays a solid quantitative ground for the mixed asset allocation model in both the markets.

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

2020 ◽  
Vol 28 (Supp01) ◽  
pp. 99-111
Author(s):  
Bao Quoc Ta ◽  
Thao Vuong
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Market Equilibrium ◽  
Management Model ◽  
Optimal Portfolios ◽  
Allocation Model ◽  
Allocation Process ◽  
Allocation Decisions

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.

Improving Transparency in the Private Equity Market

CFA Magazine ◽  
2011 ◽  
Vol 22 (3) ◽  
pp. 10-10
Author(s):  
Osman Ghani
Keyword(s):  
Private Equity ◽  
Equity Market

Character Reorganization and Categorization using Hybrid Algorithms by Scanned Documents

2019 ◽  
Vol 8 (6S2) ◽  
pp. 943-948
Keyword(s):  
Research Work ◽  
Hybrid Algorithms ◽  
Research Topic ◽  
Image Processing Techniques ◽  
Digital Books ◽  
Otsu Method ◽  
Challenging Research ◽  
Processing Techniques ◽  
Scanned Documents ◽  
Day By Day

Detection and reorganization of text may save a lot of time while reproducing old books text and its chapters. This is really challenging research topic as different books may have different font types and styles. The digital books and eBooks reading habit is increasing day by day and new documents are producing every day. So in order to boost the process the text reorganization using digital image processing techniques can be used. This research work is using hybrid algorithms and morphological algorithms. For sample we have taken an letter pad where the text and images are separated using algorithms. The another objective of this research is to increase the accuracy of recognized text and produce accurate results. This research worked on two different concepts, first is concept of Pixel-level thresholding processing and another one is Otsu Method thresholding.

scholarly journals Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1411
Author(s):  
Xiaqing Su ◽  
Zhe Liu
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Asset Allocation ◽  
Policy Uncertainty ◽  
Volatility Spillover ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Transmission Structure ◽  
Long Term Impact

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

scholarly journals Obsidian and Obsidian-like Glass Tesserae: A Multidisciplinary Approach to Study the Dedication Wall Mosaic in the Church of St. Mary of the Admiral in Palermo (12th Century)

2020 ◽  
Vol 6 (1) ◽  
pp. 403-416
Author(s):  
Valentina Cantone ◽  
Rita Deiana ◽  
Alberta Silvestri ◽  
Ivana Angelini
Keyword(s):  
Multidisciplinary Approach ◽  
Multispectral Imaging ◽  
Volcanic Glass ◽  
Research Topic ◽  
Multidisciplinary Study ◽  
12Th Century ◽  
Challenging Research ◽  
Byzantine Period ◽  
Dark Glass ◽  
The Church

AbstractPliny the Elder testifies that roman workshops used volcanic glass (obsidian), but also produced and used a dark glass (obsidian-like glass) quite similar to the natural one. In the context of the study on medieval mosaics, the use of the obsidian and obsidian-like tesserae is a challenging research topic. In this paper, we present the results of a multidisciplinary study carried out on the Dedication wall mosaic, realized by a byzantine workshop in the 12th century in the Church of St. Mary of the Admiral in Palermo, and where numerous black-appearing tesserae, supposed to be composed of obsidian by naked-eyes observation, are present. Historical documents, multispectral imaging of the wall mosaic, and some analytical methods (SEM-EDS and XRPD) applied to a sample of black tesserae, concur in identifying here the presence of obsidian and different obsidian-like glass tesserae. This evidence, although related to the apparent tampering and restoration, could open a new scenario in the use of obsidian and obsidian-like glass tesserae during the Byzantine period in Sicily and in the reconstruction of multiple restoration phases carried out between 12th and 20th century AD on the mosaics of St. Mary of the Admiral.

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