Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286154 
Title (translated): 
Does the Black-Litterman Model add value in portfolios of the integrated Latin American Market (MILA)? Empirical evaluation 2008-2016
Year of Publication: 
2019
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 27 [Year:] 2019 [Pages:] 55-73
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
The Black-Litterman (BL) model has been proposed as an alternative to Markowitz's average-variance model for the structuring of financial asset portfolios, allowing the incorporation of perspectives of fundamental analysts and guaranteeing a high degree of diversification. This model is applied quarterly, to stock portfolios of the countries of the MILA: Colombia, Chile, Mexico and Peru, based on the universe of shares of its main main indices. As perspectives, we use the historical recommendations of Bloomberg analysts for the period 2008-2016. It is found that the portfolios conformed with BL add value in the countries to the respective reference index, both in terms of average yield and alpha. In addition, a regional BL portfolio is formed with those of each country and it is proven that it exceeds a regional Benchmark, both measured in dollars, in each of three coverage alternatives against the dollar.
Subjects: 
Active portfolio management
Black-Litterman model
MILA
diversification
fund performance evaluation
portfolio coverage by exchange rate
JEL: 
C11
G11
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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