publication . Thesis . 2006

Global equity allocation with index of economic freedom—A Black-Litterman equilibrium approach

Mohanty, Subhransu Sekhar;
Open Access English
  • Published: 01 Jan 2006
  • Country: Canada
Abstract
The purpose of the present study is to examine the impact of Index of Economic Freedom (IEF) in strategic equity allocation process, in ternis of riskreturn efficiency, across 49 countries using the Black-Litterman's Absolute View approach. We have attempted to carry an ex-post comparative risk-return performance analysis of traditional CAPM, the Black-Litterman Equilibrium model and our view based strategy based on Black-Litterman's Absolute View approach to analyse whether our view-based strategy adds significant value to asset allocation or not. Our study has particular relevance to asset allocation strategy, portfolio optimisation and risk minimization in th...
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45 references, page 1 of 3

Section II: Research Methodology, Data and Assumptions .........................16

Global Equity Allocation: CAPM Model ..................................3.0

(Efficient Frontier 2004)

Return Model (Efficient Frontier 2004) ...................................3.6

Approach- Efficient Frontier 2004).......................................4..4

Exhibit 4A: MVP Portfolio Performance (Absolute Values).........................5..3

Exhibit 4B: MVP Portfolio Performance (Change in Values Y-O-Y)...............53

Exhibit 5A: GEAF Portfolio Performance (Absolute Values)........................56

Portfolio.........................................................................2..7

Fund.............................................................................-.2.8

and Black-Litterman Implied Equilibrium Returns....................3.2

Variance Portfolio...........................................................3..4..

Global Equity Allocation Fund Portfolio.................................3..5

CAPM Vs . BIL Implied Equilibrium Returns.............................3.7

(Percentage change over previous year)................................4.0

45 references, page 1 of 3
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