The Impact of Views on International Portfolio Selection

Patrizia Stucchi ()

Journal Transition Studies Review, 2018, vol. 25, issue 1, 39-47

Abstract: We adopt the Black and Litterman approach in order to find optimal international portfolios and to investigate the sensitivity of their weights to investor’s subjective views. We consider fifteen international asset classes and two different sets of views. The results show that BL portfolios can have very different features changingthe views, but they are coherent with the views themselves. Resulting portfolios arerelatively highly concentrated in asset classes with the better perspectives and present strong negative weights in asset classes with the worst views. We repeat the trials excluding short selling: in the first scenario we obtain well diversified portfolio, while in the second the effect of views gives a more concentrated portfolio.

Keywords: Asset allocation; Market portfolio; Reverse optimization; International optimal portfolios (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:ase:jtsrta:v:25:y:2018:i:1:p:39-47:id:223

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