Optimization of the Russian Gold and Foreign Exchange Reserves Structure Using the Black-Litterman Model

Igor S. Ivanchenko () and Dennis Danso Osei ()
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Dennis Danso Osei: Rostov State University of Economics, Rostov-on-Don, Russia Title: Optimization of the Russian International Reserves Structure Using the Black-Litterman Model

Finansovyj žhurnal — Financial Journal, 2018, issue 1, 26-38

Abstract: The article describes the results of optimizing the portfolio of Russia’s international reserves using the Black-Litterman model based on the minimum risk and maximum yield criteria.

Keywords: international reserves; optimization of the asset portfolio; the Black-Litterman model (search for similar items in EconPapers)
JEL-codes: F21 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:fru:finjrn:180102:p:26-38

DOI: 10.31107/2075-1990-2018-1-26-38

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