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Optimal Portfolio Model for Emerging Markets: Markowitz Model, Black-Litterman Model or Shrinkage Method?

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Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2023-2024, Tutors: Josep Vives, Oriol Roch

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This article synthesizes the application of the Markowitz model, the Black-Litterman model, and the Shrinkage Method to portfolio management of emerging market exchange-traded funds (ETFs). It focuses on the selection of multiple asset classes, diversification, and apply different models to optimize asset allocation in order to achieve an optimal balance of risk and return in the face of a high market volatility environment. To this end, assess the performance of the portfolio to determine the practical effectiveness and applicability of each model.

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Màster Oficial - Ciències Actuarials i Financeres (CAF)

# metadata.dc.title[].value
Optimal Portfolio Model for Emerging Markets: Markowitz Model, Black-Litterman Model or Shrinkage Method?