Abstract

GIRALDO CARDENAS, Laura et al. Optimal portfolio selection model using Black-Litterman analysis. Rev. ing. univ. Medellín [online]. 2015, vol.14, n.27, pp.111-130. ISSN 1692-3324.

Among the several financial theories related with the optimal portfolio selection, Black-Litterman proposal is the only one that considers the future expectation of investors over the assets that are being considered in the portfolio allocation problem. This works presents the Black-Litterman portfolio proposal as a tool that improves the optimal portfolio selection and also shows how the results obtained with this model could be used as an input to the classical Markowitz portfolio selection model. Besides the theorical presentation of the Black-Litterman portfolio model, a portfolio analysis over the COLCAP index in the Colombian Capital Market is presented, in this case the expectations of investors are taking into account and the results obtained from the Black-Litterman model are used to improve an optimal portfolio that consider the previous expectations under the Markowitz portfolio selection model, either under minimum variance and maximum return optimization.

Keywords : Risk; Black-Litterman model; portfolio management.

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