The black-litterman model in central bank practice: study for Turkish Central Bank

The Modern Portfolio Theory is based on Markowitz Mean-Variance portfolio optimization. The Black-Litterman Model uses a Bayesian approach which combines expert’s views about assets involved in optimization with equilibrium returns implied by market capitalization weights, and as a result we get exp...

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Main Authors:	Ganikhodjaev, Nasir, Bayram, Kamola
Format:	Conference or Workshop Item
Language:	English English English
Published:	Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia 2016
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/50620/ http://irep.iium.edu.my/50620/ http://irep.iium.edu.my/50620/6/50620-new.pdf http://irep.iium.edu.my/50620/7/50620-slides.pdf http://irep.iium.edu.my/50620/8/50620-The%20black-litterman%20model%20in%20central%20bank%20practice_SCOPUS.pdf

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recordtype	eprints
spelling	iium-506202017-06-05T07:50:48Z http://irep.iium.edu.my/50620/ The black-litterman model in central bank practice: study for Turkish Central Bank Ganikhodjaev, Nasir Bayram, Kamola QA Mathematics The Modern Portfolio Theory is based on Markowitz Mean-Variance portfolio optimization. The Black-Litterman Model uses a Bayesian approach which combines expert’s views about assets involved in optimization with equilibrium returns implied by market capitalization weights, and as a result we get expected returns which can be put in MeanVariance optimization. After the global financial crisis 2007-2009 emerging countries’ central banks started to restructure their international reserves. During the crisis gold outperformed other assets by 42% and thus explicitly demonstrated its feature as safe haven asset. Therefore, including gold into the investment portfolio helps to survive economic turbulence with less harm. However, the question what percentage of portfolio should be allocated to gold to avoid the above mentioned problem remains unanswered. In this paper using the Black-Litterman model we consider this problem in case of the Central Bank of the Republic of Turkey Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia 2016-02 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/50620/6/50620-new.pdf application/pdf en http://irep.iium.edu.my/50620/7/50620-slides.pdf application/pdf en http://irep.iium.edu.my/50620/8/50620-The%20black-litterman%20model%20in%20central%20bank%20practice_SCOPUS.pdf Ganikhodjaev, Nasir and Bayram, Kamola (2016) The black-litterman model in central bank practice: study for Turkish Central Bank. In: The 3rd International Conference on Mathematical Applications in Engineering 2014 (ICMAE’14), 23rd-25th September 2014, Sunway Putra Hotel Kuala Lumpur. http://einspem.upm.edu.my/journal/fullpaper/vol10sfeb/No17.pdf
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	QA Mathematics
spellingShingle	QA Mathematics Ganikhodjaev, Nasir Bayram, Kamola The black-litterman model in central bank practice: study for Turkish Central Bank
description	The Modern Portfolio Theory is based on Markowitz Mean-Variance portfolio optimization. The Black-Litterman Model uses a Bayesian approach which combines expert’s views about assets involved in optimization with equilibrium returns implied by market capitalization weights, and as a result we get expected returns which can be put in MeanVariance optimization. After the global financial crisis 2007-2009 emerging countries’ central banks started to restructure their international reserves. During the crisis gold outperformed other assets by 42% and thus explicitly demonstrated its feature as safe haven asset. Therefore, including gold into the investment portfolio helps to survive economic turbulence with less harm. However, the question what percentage of portfolio should be allocated to gold to avoid the above mentioned problem remains unanswered. In this paper using the Black-Litterman model we consider this problem in case of the Central Bank of the Republic of Turkey
format	Conference or Workshop Item
author	Ganikhodjaev, Nasir Bayram, Kamola
author_facet	Ganikhodjaev, Nasir Bayram, Kamola
author_sort	Ganikhodjaev, Nasir
title	The black-litterman model in central bank practice: study for Turkish Central Bank
title_short	The black-litterman model in central bank practice: study for Turkish Central Bank
title_full	The black-litterman model in central bank practice: study for Turkish Central Bank
title_fullStr	The black-litterman model in central bank practice: study for Turkish Central Bank
title_full_unstemmed	The black-litterman model in central bank practice: study for Turkish Central Bank
title_sort	black-litterman model in central bank practice: study for turkish central bank
publisher	Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia
publishDate	2016
url	http://irep.iium.edu.my/50620/ http://irep.iium.edu.my/50620/ http://irep.iium.edu.my/50620/6/50620-new.pdf http://irep.iium.edu.my/50620/7/50620-slides.pdf http://irep.iium.edu.my/50620/8/50620-The%20black-litterman%20model%20in%20central%20bank%20practice_SCOPUS.pdf
first_indexed	2023-09-18T21:11:33Z
last_indexed	2023-09-18T21:11:33Z
_version_	1777411286472065024

The black-litterman model in central bank practice: study for Turkish Central Bank

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