Constricting Optimal Portfolio in the Framework of Black-Litterman Model

Student: Demurov Stanislav

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

The goal of this paper is to determine whether it will be advantageous for an investor to use the Black-Litterman asset allocation model when comprising optimal portfolio on the Russian market. The research starts with the literature analysis, then proceeds to explanation of the models’ theory. Then, for every option of investors’ views proxy in Black-Litterman model, three different portfolios are constructed, and their cumulative returns are analyzed to determine the optimal one.

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