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1、©SwissSocietyforFinancialMarketResearch(pp.59–75)WOLFGANGDROBETZHOWTOAVOIDTHEPITFALLSINPORTFOLIOOPTIMIZATION?PUTTINGTHEBLACK-LITTERMANAPPROACHATWORKWolfgangDrobetz,InvestmentConsultingGroup,momentum,andstyles.Incontrast,theMAR-St.Gallen,Switzerland,phone:+41-71-2276800
2、,KOWITZapproachrequiresexpectedreturnsWolfgang.Drobetz@investconsult.com.forallassetsintheuniverseasaninput.Sec-IthankThomasPortmann,PatrickWegmann,andHeinzZimmermannond,mean-standarddeviationoptimizationim-forvaluablecomments.pliesatrade-offbetweenriskandexpectedretur
3、nsalongtheefficientfrontier.Portfolio1.Introductionweightsareamereresultofthisrelationship.Incontrast,assetmanagersusuallythinkdi-TheMARKOWITZ(1952)formulationofmo-rectlyintermsofportfolioweights.Theyfinddernportfoliotheorycombinesthetwobasictheweightsreturnedbyanoptim
4、izerextreme,objectivesofinvesting:maximizingexpectednotintuitiveand,henceinappropriateforbeingreturnandatthesametimeminimizingrisk.Inimplementedinaclient’sportfolio.Unfortu-aportfoliocontext,riskismeasuredasthenately,muchofthisdiscomfortwiththestan-standarddeviation(or
5、volatility)ofreturnsdardapproachcomesbecausehistoricalreturnsaroundtheirexpectedvalue.Theresultoftra-areusuallyusedinsteadofexpectedreturns,ditionalportfoliooptimizationisaparabolicandbecauseestimationerrorsarenottakenefficientfrontier,indicatingthecombinationsintoacco
6、unt.ofassetswiththehighestexpectedreturnTheseobservationswerethemotivationforthegivenacertainlevelofrisk.workbyFISHERBLACKandROBERTLIT-EventhoughmodernportfoliotheoryhasstoodTERMAN(1992).Thegoalwastoreshapethetestoftimewithintheacademiccommunity,modernportfoliotheoryso
7、astomakeitmoreandgenerationsofbusinessstudentshaveen-applicableforinvestmentprofessionals.Theircounteredmean-varianceportfolioselectionasapproachisflexibleenoughtocombinetheoneofthecore-conceptsofmoderninvestmentmarketequilibriumwithsubjectiveviewsandtheory,itsimpactin
8、theinvestmentcommunityaninvestor’seconomicreasoning.Sincethehasbeensurprisinglysmall.BLACK-LITTERMANmodelstartswithne
