Factor Allocation Model: Integrating Factor Models and Strategies into the Asset Allocation Process

2021 ◽  
Vol 47 (5) ◽  
pp. 51-57
Author(s):  
Dimitris Melas
Keyword(s):  
Asset Allocation ◽  
Factor Models ◽  
Allocation Model ◽  
Integrating Factor ◽  
Allocation Process

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.

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.

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