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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal:Business and Economics Research Journal
Title of Article:Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk
Author(s):Tuncer Caliskan
Volume:3
Number:4
Year:2012
Page:43-55
ISSN:1309-2448
Abstract

This study aims to compare Black Litterman Model and Markowitz Mean Variance Model with beta factor, unsystematic risk and total risk. The data set used in this study covers daily corrected prices of 17 firms’ listed on ISE for the period between 2003 and 2009. By using Markowitz Mean Variance Model and Black Litterman Model, totally 26 portfolios are formed. Portfolios formed with two model are compared with their risks. The results of the study illustrates that the portfolios formed with Black Litterman Model have lower beta factor, unsystematic risk and total risk.

Keywords:Black-Litterman Model, Markowitz Mean-Variance Model, Beta Factor, Unsystematic Risk, Total Risk

JEL Classification:G11, G12

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