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