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Black–Litterman Portfolio Optimization with Dynamic CAPM via ABC-MCMC

The present research proposes a methodology for portfolio construction that integrates the Black–Litterman model with expected returns generated through simulations under dynamic Capital Asset Pricing Model (CAPM) with conditional betas, estimated via Approximate Bayesian Computation Markov Chain Mo...

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Principais autores: Sebastián Flández, Rolando Rubilar-Torrealba, Karime Chahuán-Jiménez, Hanns de la Fuente-Mella, Claudio Elórtegui-Gómez
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2025-10-01
Serier:Mathematics
Fag:
Black–Litterman
ABC-MCMC
optimization
stock market
Online adgang:https://www.mdpi.com/2227-7390/13/20/3265
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