OPTIMAL PORTFOLIO SELECTION FOR INSURANCE COMPANIES IN THE BLACK-LITTERMAN MODEL FRAMEWORK

Abstract

Author(s): Hasan Alp ZEL? Selin ZEN

The Black-Litterman model, developed by Fisher Black and Robert Litterman in 1990, is a model that the investor’s view can be brought in the formulation of optimal portfolio selection process. The Black-Litterman model combines the expectations of an investor regarding the expected returns of the one or more assets with the market returns to compute the new ultimate returns. In this study, we use five insurance companies’ asset returns and the Black-Litterman model is applied to this dataset. First, the market returns are obtained by using the Capital Asset Pricing Model and the weights of this assets are computed regarding to the market returns. By using these results, the equilibrium returns are calculated by reverse optimization method. Investor expectations are determined based on the equilibrium returns and the uncertainties of these expectations are calculated. Then the ultimate returns are obtained by applying the Black-Litterman model and the portfolio weights are revised. The results are obtained in the same direction with the expectations of the investors and the estimated weight of the assets in the portfolio increased

Announcements

You can send your paper at https://www.scholarscentral.org/submissions/international-social-research.html

  • The Journal of International Social Research / Uluslararas覺 Sosyal Arat覺rmalar Dergisi ISSN: 1307-9581, an international, peer-reviewed, on the web publication, from 2007 will be issued least four times annualy.
  • Our journal is an independent academic publication based on research in social sciences, contributing to its field and trying to publish scientific articles that will bring innovation to the original and social sciences.
  • The journal has got an international editorial board and referee board, mainly embodied from the each individually professional on the social research fields.
  • Uluslararas覺 Sosyal Arat覺rmalar Dergisi / The Journal of International Social Research became a member of Cross Reff since 2014 and started to assign DOI numbers to the articles. image
Google scholar citation report
Citations : 27

The Journal of International Social Research received 27 citations as per google scholar report

The Journal of International Social Research peer review process verified by publons
Get the App