SOFTWARE IMPLEMENTATION AND PECULIARITIES OF THE BLACK-LITTERMAN MODEL FOR PORTFOLIO MANAGEMENT |
| 3 | |
| 2010 |
| scientific article | 519.863:336.714 | ||
| 200-206 | financial mathematics, financial markets, optimization, portfolio management, Black-Litterman model, high performance computing |
| The popular Black-Litterman model, which is used to find optimal strategy of the investor behavior in financial
markets, is considered. The advantages and disadvantages of the model are illustrated by concrete examples. The
authors main result is an effective implementation of the model on modern computers with multi-core architecture. |
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