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Cybernetics and Information Technologies
Volume 20 (2020): Issue 2 (June 2020)
Open Access
Analytical Overview and Applications of Modified Black-Litterman Model for Portfolio Optimization
Todor Stoilov
Todor Stoilov
,
Krasimira Stoilova
Krasimira Stoilova
and
Miroslav Vladimirov
Miroslav Vladimirov
| Jun 12, 2020
Cybernetics and Information Technologies
Volume 20 (2020): Issue 2 (June 2020)
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Published Online:
Jun 12, 2020
Page range:
30 - 49
Received:
Apr 07, 2020
Accepted:
May 21, 2020
DOI:
https://doi.org/10.2478/cait-2020-0014
Keywords
Size Portfolio optimization
,
mean-variance portfolio model
,
Black-Litterman portfolio model
,
active portfolio management
,
decision making
© 2020 Todor Stoilov et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Todor Stoilov
Institute of Information and Communication Systems, Bulgarian Academy of Sciences
Sofia, Bulgaria
Naval Academy
Varna, Bulgaria
Krasimira Stoilova
Institute of Information and Communication Systems, Bulgarian Academy of Sciences
Sofia, Bulgaria
Naval Academy
Varna, Bulgaria
Miroslav Vladimirov
Varna University of Economics,
Varna, Bulgaria