TY - GEN
T1 - Portfolio optimization and corporate networks
T2 - 2nd International Conference on Complex Sciences, COMPLEX 2012
AU - Creamer, Germán
N1 - Publisher Copyright:
© Institute for Computer Sciences, Social Informatics and Telecommunications Engineering 2013.
PY - 2013
Y1 - 2013
N2 - The Black Litterman (BL) model for portfolio optimization combines investors’ expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors’ expectations are based on accounting variables, recommendations of financial analysts, and social network indicators of financial analysts and corporate directors. The results show promise when compared to those of an investor that only uses market price information. I also provide recommendations about trading strategies using the results of my model.
AB - The Black Litterman (BL) model for portfolio optimization combines investors’ expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors’ expectations are based on accounting variables, recommendations of financial analysts, and social network indicators of financial analysts and corporate directors. The results show promise when compared to those of an investor that only uses market price information. I also provide recommendations about trading strategies using the results of my model.
KW - Black Litterman model
KW - Boosting
KW - Computational finance
KW - Link mining
KW - Machine learning
KW - Portfolio optimization
KW - Social network
UR - http://www.scopus.com/inward/record.url?scp=85025146055&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85025146055&partnerID=8YFLogxK
U2 - 10.1007/978-3-319-03473-7_8
DO - 10.1007/978-3-319-03473-7_8
M3 - Conference contribution
AN - SCOPUS:85025146055
SN - 9783319034720
T3 - Lecture Notes of the Institute for Computer Sciences, Social-Informatics and Telecommunications Engineering, LNICST
SP - 83
EP - 94
BT - Complex Sciences - 2nd International Conference, COMPLEX 2012, Revised Selected Papers
A2 - Glass, Kristin
A2 - Colbaugh, Richard
A2 - Tsao, Jeffrey
A2 - Ormerod, Paul
Y2 - 5 December 2012 through 7 December 2012
ER -