On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study

Diversification with international assets and cryptocurrencies using Black-Litterman

“…The elaboration of Q also generates great interest in the literature, either for the systemic and feasible replication of views for simulations, as well as for being an alternative from the point of view of a manager. Among the most used alternatives are the utilization of Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models (see Duqi, Franci, and Torluccio (2014) and Harris, Stoja, and Tan (2017)), the dynamic regression models (see Fernandes, Street, Fernandes, and Valladão (2018) and Kolm et al (2021)), or even approaches that combine the two techniques, such as Kara et al (2019). Further, Neto and Colombo (2021, p. 94) used the "sample averages of asset returns" as views.…”

“…For this purpose, a η was calculated so that maximized the approximation of the portfolio's volatility with 8% p.y., 15% p.y. and 20% p.y., in order to verify whether the investor's risk profile would affect the results, similarly to Fernandes et al. (2018).…”

Portfolio Selection Incorporating Macroeconomic Views Using Black-Litterman Model

“…Both Zhou [2009], who proposes mixing the historical returns with the Black-Litterman returns, and Michaud et al [2013], who criticizes the model for reaching a previously wanted portfolio and proposes his alternative model for handling estimation errors, address (i). Fernandes et al [2018] who proposed a mixed use of historical returns and fundamentalist data to set securities views, and Cheung [2013] who proposed views based on linear factors which explain securities returns, are good empirical applications that address (ii).…”

“…Full reviews of the model and some of its extensions are presented in the works of Walters [2011] and Cheung [2009]. Zhou [2009] proposed mixing historical data with the posterior returns to improve his estimates; Fernandes et al [2018] presented an investment strategy for the Brazilian stock index setting views based on past returns and price-earnings ratio; and Cheung [2013] presented a mix of the Black-Litterman model with multi-factor return modelling enabling a factor instead of security view to be incorporated.…”

Essays on Financial Innovations: Feedback Trading, Tracking Efficiency and Innovation Index

“…In recent research, Fernandes, Street, Fernandes, and Valladão (2018) proposed an investment strategy based on the Black-Litterman model (Black and Litterman, 1992) with conditional information using Brazilian data and showed that the resulting optimal portfolios outperformed traditional mean-variance portfolios even in an emerging market with one of the highest nominal interest rates.…”