Research Article
Portfolio Optimization and Corporate Networks: Extending the Black Litterman Model
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@INPROCEEDINGS{10.1007/978-3-319-03473-7_8, author={Germ\^{a}n Creamer}, title={Portfolio Optimization and Corporate Networks: Extending the Black Litterman Model}, proceedings={Complex Sciences. Second International Conference, COMPLEX 2012, Santa Fe, NM, USA, December 5-7, 2012, Revised Selected Papers}, proceedings_a={COMPLEX}, year={2013}, month={11}, keywords={Link mining social network machine learning computational finance portfolio optimization boosting Black Litterman model}, doi={10.1007/978-3-319-03473-7_8} }- Germán Creamer
Year: 2013
Portfolio Optimization and Corporate Networks: Extending the Black Litterman Model
COMPLEX
Springer
DOI: 10.1007/978-3-319-03473-7_8
Abstract
The Black Litterman (BL) model for portfolio optimization combines investors’ expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors’ expectations are based on accounting variables, recommendations of financial analysts, and social network indicators of financial analysts and corporate directors. The results show promise when compared to those of an investor that only uses market price information. I also provide recommendations about trading strategies using the results of my model.
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