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Harris, R.D.F., Stoja, E. and Tan, L. 
ORCID: 0000-0001-6986-1923,
2016.
The dynamic Black-Litterman approach to asset allocation.
London: Bank of England.
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Abstract
We generalise the Black-Litterman (BL) portfolio management framework to incorporate time-variation in the conditional distribution of returns in the asset allocation process. We evaluate the performance of the dynamic BL model using both standard performance ratios as well as other measures that are designed to capture tail risk in the presence of non-normally distributed asset returns. We find that dynamic BL model outperforms a range of different benchmarks. Moreover, we show that the choice of volatility model has a considerable impact on the performance of the dynamic BL model.
| Item Type: | Working paper | ||||
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| Description: | Bank of England Staff Working Paper no. 596. | ||||
| Creators: | Harris, R.D.F., Stoja, E. and Tan, L. | ||||
| Publisher: | Bank of England | ||||
| Place of Publication: | London | ||||
| Date: | 22 April 2016 | ||||
| Identifiers: |
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| Divisions: | Schools > Nottingham Business School | ||||
| Record created by: | Linda Sullivan | ||||
| Date Added: | 09 Nov 2016 14:12 | ||||
| Last Modified: | 15 Feb 2024 11:54 | ||||
| Related URLs: | |||||
| URI: | https://irep.ntu.ac.uk/id/eprint/29057 |
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