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...
- 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
- Rights
- License
- Acceso abierto
| Summary: | 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 Latinoamericano (MILA): Colombia, Chile, Mexico and Peru, starting from the constituents of the main stock market indexes. As perspectives, we use the historical analyst ́s recommendations in Bloomberg for the period 2008-2016. We find that portfolios created with BL outperform the main index, both in average return and in alpha, in each of the four countries. Moreover, a regional BL portfolio that combines the four BL country portfolios, outperforms a regional Benchmark, measured in dollars, in each one of three alternatives of Us dollar hedge. |
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