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Abstract

Psychology and Psychotherapy: Research Study

Advances in Modern Portfolio Theory

  • Open or CloseStoilov T1*, Stoilova K1 and Vladimirov M2

    1Institute of Information and Communication Technologies-Bulgarian Academy of Sciences, Bulgaria

    2Varna University of Economics, Bulgaria

    *Corresponding author:Stoilov T, Institute of Information and Communication Technologies-Bulgarian Academy of Sciences, 1113 Sofia, Bulgaria

Submission: March 22, 2021;Published: April 27, 2021

Abstract

Active portfolio management is applied with sequentially definition and solution of portfolio optimization problem. A sliding procedure for usage of the historical data of the asset returns is applied for estimation of the portfolio parameters for mean asset returns and covariance matrix. The portfolio problem is defined following two models: classical portfolio and Black-Litterman modeling. Special formalization of the expert views is applied, based on additional usage of the historical data of the asset returns. Thus, the results of both models can be compared, due to the common set of initial data, used for the definition of the portfolio problems. Practical problem is solved for investment in real estates. The solution is made with data of the Bulgarian market of real estates.

Keywords: Portfolio theory; Black-litterman portfolio modeling; Real estate market; Optimization; Decision- making

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