Open AccessThe application of Black-Litterman Bayesian model for the portfolio optimization on the liquid index 45 (LQ45) with information ratio assessment
Author(s) -
Uswatul Auliya Murtadina,
Dewi Retno Sari Saputro,
Putranto Hadi Utomo
Publication year - 2021
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/5.0039684
Subject(s) - black–litterman model , portfolio optimization , portfolio , capital asset pricing model , rate of return on a portfolio , econometrics , economics , replicating portfolio , financial economics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom