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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| Format: | Proceeding Paper |
| Language: | English English English |
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Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia
2016
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| Subjects: | |
| Online Access: | 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 |
| _version_ | 1848783679628771328 |
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| author | Ganikhodjaev, Nasir Bayram, Kamola |
| author_facet | Ganikhodjaev, Nasir Bayram, Kamola |
| author_sort | Ganikhodjaev, Nasir |
| building | IIUM Repository |
| collection | Online Access |
| 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 |
| first_indexed | 2025-11-14T16:25:11Z |
| format | Proceeding Paper |
| id | iium-50620 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T16:25:11Z |
| publishDate | 2016 |
| publisher | Institute for Mathematical Research (INSPEM) Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 Proceeding Paper 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 |
| spellingShingle | QA Mathematics Ganikhodjaev, Nasir Bayram, Kamola The black-litterman model in central bank practice: study for Turkish Central Bank |
| title | 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_short | 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 |
| topic | QA Mathematics |
| 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 |