How the information precision and the information frequency observed affect the stock market equilibrium

2011 ◽  
Vol 5 (29) ◽  
Author(s):  
Tina C. Chiao
Keyword(s):  
Stock Market ◽  
Market Equilibrium ◽  
Information Precision ◽  
Information Frequency

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

2020 ◽  
Vol 28 (Supp01) ◽  
pp. 99-111
Author(s):  
Bao Quoc Ta ◽  
Thao Vuong
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Market Equilibrium ◽  
Management Model ◽  
Optimal Portfolios ◽  
Allocation Model ◽  
Allocation Process ◽  
Allocation Decisions

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

scholarly journals The Inefficiency of the Stock Market Equilibrium

1982 ◽  
Vol 49 (2) ◽  
pp. 241 ◽  
Author(s):  
Joseph E. Stiglitz
Keyword(s):  
Stock Market ◽  
Market Equilibrium

Stock-Market Equilibrium and the Dividend Yield

1996 ◽  
Vol 96 (90) ◽  
pp. 1
Author(s):  
Charles Frederick Kramer ◽  
Keyword(s):  
Stock Market ◽  
Market Equilibrium ◽  
Dividend Yield

scholarly journals Normative properties of stock market equilibrium with moral hazard

2008 ◽  
Vol 44 (7-8) ◽  
pp. 785-806 ◽  
Author(s):  
Michael Magill ◽  
Martine Quinzii
Keyword(s):  
Stock Market ◽  
Moral Hazard ◽  
Market Equilibrium
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