Optimization of Peruvian mutual fund portfolios using the Markowitz and Black-Litterman Models, 2010–2025

Luis Enrique Cayatopa-Rivera, Carmen Patricia Peralta-Gonzales, Lily Tatiana León-Echevarría and Henry Cóndor-Lucchini
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Carmen Patricia Peralta-Gonzales: Universidad Nacional de Huancavelica
Lily Tatiana León-Echevarría: Universidad Nacional Hermilio Valdizán de Huánuco
Henry Cóndor-Lucchini: Universidad Nacional Mayor de San Marcos

Revista Tendencias, 2026, vol. 27, issue 02, 147-173

Abstract: Introduction: This study analyzes the optimization of Peruvian mutual fund portfolios and the effect of the denomination currency on the relationship between risk, return, and diversification. Objective: To compare the performance of the Markowitz and Black-Litterman models in estimating efficient frontiers and constructing optimal portfolios for mutual funds denominated in soles, dollars, and an integrated portfolio combining both currencies during 2010–2025. Methodology: A quantitative, non-experimental, longitudinal study was conducted using monthly quota values of 31 mutual funds reported by Peru’s Superintendencia del Mercado de Valores. Returns, volatilities, Sharpe ratios, tangent portfolios, and efficient frontiers were calculated under non-negativity and maximum asset-weight constraints. Results: Soles-denominated funds showed greater relative efficiency; Markowitz produced more conservative portfolios and better Sharpe ratios, while Black-Litterman achieved higher cumulative returns in dollar and integrated portfolios, albeit with greater volatility. Discussion: The findings confirm that portfolio efficiency does not depend solely on the optimization model, but also on the denomination currency, the risk structure of the funds, and the evaluation criterion adopted. In this regard, Markowitz proves more consistent for defensive strategies oriented toward risk-adjusted efficiency, while Black-Litterman allows incorporating market expectations and shifting the portfolio toward higher potential returns, with greater risk exposure. Conclusions: Both models are complementary; Markowitz favors risk-adjusted efficiency, and Black-Litterman incorporates expectations to expand return opportunities.

Keywords: financial management; risk management; investment; liquidity; financial market (search for similar items in EconPapers)
JEL-codes: C58 C61 D81 G11 G12 G23 (search for similar items in EconPapers)
Date: 2026
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https://revistas.udenar.edu.co/index.php/rtend/article/view/10408/11312

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Persistent link: https://EconPapers.repec.org/RePEc:col:000520:023326

DOI: 10.22267/rtend.26272.300

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