Complex Sciences. Second International Conference, COMPLEX 2012, Santa Fe, NM, USA, December 5-7, 2012, Revised Selected Papers

Research Article

Portfolio Optimization and Corporate Networks: Extending the Black Litterman Model

Download
443 downloads
  • @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
Germán Creamer1,*
  • 1: Stevens Institute of Technology
*Contact email: gcreamer@stevens.edu

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.