El model de Black-Litterman per a carteres d’inversió: el sector petroli i energia

Abstract

[en] The Black-Litterman (BL) model allows to obtain the market expected returns by combining investors’ expectations and a neutral landmark. The latter is possible thanks to the Bayesian statistics. Hence, this model, unlike the traditional ones, is more stable and consistent with the investors’ expectations. The purpose of this work is to explain all the components of the BL model and compare the obtained results with those that we would get by applying other more traditional models, such as the Markowitz one. In particular, we will base the study on a sector within one of the most well-known stock markets in Spain: the IBEX 35.