A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management

Journal of International Financial Markets Institutions and Money, Journal Year: 2024, Volume and Issue: 91, P. 101949 - 101949

Published: Jan. 22, 2024

Language: Английский

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Effect of exogenous market sentiment indicators in stock price direction prediction

Expert Systems with Applications, Journal Year: 2025, Volume and Issue: unknown, P. 127696 - 127696

Published: April 1, 2025

Language: Английский

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A BL-MF fusion model for portfolio optimization: Incorporating the Black-Litterman solution into multi-factor model

Finance research letters, Journal Year: 2025, Volume and Issue: unknown, P. 107464 - 107464

Published: April 1, 2025

Language: Английский

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Enhancing investment performance of Black-Litterman model with AI hybrid system: Can it be done?

Expert Systems with Applications, Journal Year: 2023, Volume and Issue: 244, P. 122924 - 122924

Published: Dec. 22, 2023

Language: Английский

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Dynamic Black–Litterman Portfolios Incorporating Asymmetric Fractal Uncertainty

Fractal and Fractional, Journal Year: 2024, Volume and Issue: 8(11), P. 642 - 642

Published: Oct. 30, 2024

This study investigates the profitability of portfolios that integrate asymmetric fractality within Black–Litterman (BL) framework. It predicts 10-day-ahead exchange-traded fund (ETF) prices using recurrent neural networks (RNNs) based on historical price information and technical indicators; these predictions are utilized as BL views. While constructing portfolio, Hurst exponent obtained from multifractal detrended fluctuation analysis is employed to determine uncertainty associated with The describes long-range persistence in time-series data, which can also be interpreted predictions. Additionally, measured account for financial time series’ characteristics. Then, backtesting conducted comprising 10 countries’ ETFs, rebalanced a 10-day basis. benchmarking Markowitz portfolio MSCI world index, assessed Sharpe ratio, maximum drawdown, sub-period analysis. results reveal proposed model enhances overall return demonstrates particularly strong performance during negative trends. Moreover, it identifies ongoing investment opportunities, even recent periods. These findings underscore potential adjusting diverse optimization applications.

Language: Английский

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The Crossroads of Fama-French Three Factor and Black-Litterman Portfolio Models: Centered on the Novel View Distribution Structured by Asset Pricing Implications

Published: Jan. 1, 2023

This study proposes a novel portfolio model that integrates the Fama-French three-factor into Black-Litterman framework, thereby facilitating more diversified and efficient investment strategy. Demonstrating remarkable performance, our significantly outshines benchmarks, exhibiting 1.04 improvement in Sharpe ratio compared to Markowitz portfolio. The resilience of is evident across different parameter settings economic conditions. reduction estimation error notably apparent model, providing improved return efficiency, which indicates heightened optimization premium, registering significant 21.7% conventional models. We also introduce new metric for quantifying price specific views within framework. By employing metric, we unveil an increased profitability potential approximately 7% annual returns due view. thus offers fresh outlook on construction, with extensive implications academia management practice.

Language: Английский

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Effect of Exogenous Market Indicators in Stock Price Direction Prediction

Published: Jan. 1, 2024

Language: Английский

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The Role of Artificial Intelligence in Optimizing Portfolio Management: A Literature Review

Lecture notes in networks and systems, Journal Year: 2024, Volume and Issue: unknown, P. 122 - 131

Published: Jan. 1, 2024

Language: Английский

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Integrating Social Media Sentiment Analysis with Gpt-4 into the Black-Litterman Model for Cryptocurrency Portfolio Management

Published: Jan. 1, 2024

Language: Английский

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Black-Litterman Portfolio with K-shape Clustering

Journal of Society of Korea Industrial and Systems Engineering, Journal Year: 2023, Volume and Issue: 46(4), P. 63 - 73

Published: Dec. 30, 2023

Language: Английский

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