An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management

Steven Beach () and Alexei Orlov

Financial Markets and Portfolio Management, 2007, vol. 21, issue 2, 147-166

Abstract: This paper provides an application of the Black–Litterman methodology to portfolio management in a global setting. The novel feature of this paper relative to the extant literature on Black–Litterman methodology is that we use GARCH-derived views as an input into the Black–Litterman model. The returns on our portfolio surpass those of portfolios that rely on market equilibrium weights or Markowitz-optimal allocations. We thereby illustrate how the Black–Litterman model can be put to work in designing global investment strategies. Copyright Swiss Society for Financial Market Research 2007

Keywords: Black–Litterman; GARCH; Global portfolio management; G11; G15 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:21:y:2007:i:2:p:147-166

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DOI: 10.1007/s11408-007-0046-6

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