Agrega valor el modelo Black-Litterman en portafo- lios del Mercado Integrado Latinoamericano (MILA)? Evaluación empírica 2008-2016

The Black-Litterman model (BL) has been offered as an alternative to the classical Markowitz Mean-Variance framework, to structure well-diversified portfolios that incorporate visions from fundamental analysts. We apply this model to stock portfolios in the countries of the Mercado Integrado Latinoa...

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Autores:

Luna-Ramírez, Susana
Arango, Diego A.

Tipo de recurso:

Fecha de publicación:

2018

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

spa

OAI Identifier:

oai:repository.eafit.edu.co:10784/13125

Acceso en línea:

http://hdl.handle.net/10784/13125

Palabra clave:

Portfolio active management
Black-Litterman Model
MILA
diversification
Fund performance evaluation
portfolio fixed-income hedge

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