{"id":2106,"date":"2012-10-19T23:33:00","date_gmt":"2012-10-19T20:33:00","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=2106"},"modified":"2012-10-20T00:25:43","modified_gmt":"2012-10-19T21:25:43","slug":"comparing-black-litterman-model-and-markowitz-mean-variance-model-with-beta-factor-unsystematic-risk-and-total-risk","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/comparing-black-litterman-model-and-markowitz-mean-variance-model-with-beta-factor-unsystematic-risk-and-total-risk","title":{"rendered":"Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
Article Information<\/strong><\/span><\/span><\/td>\n<\/tr>\n
Journal:<\/strong><\/span><\/span>Business and Economics Research Journal
\n<\/span>Title of Article:<\/strong><\/span><\/span>Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk
\n<\/span>Author(s):<\/strong><\/span><\/span>Tuncer Caliskan
\n<\/span>Volume:<\/strong><\/span><\/span>3
\n<\/span>Number:<\/strong><\/span><\/span>4
\n<\/span>Year:<\/strong><\/span><\/span>2012
\n<\/span>Page:<\/strong><\/span><\/span>43-55
\n<\/span>ISSN:<\/strong><\/span><\/span>1309-2448<\/span><\/td>\n<\/tr>\n
Abstract <\/strong><\/span><\/span><\/td>\n<\/tr>\n
\n

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\u2019 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. <\/span><\/p>\n<\/td>\n<\/tr>\n

\n

Keywords:<\/strong><\/span><\/span>Black-Litterman Model, Markowitz Mean-Variance Model, Beta Factor, Unsystematic Risk, Total Risk<\/span><\/span><\/p>\n<\/td>\n<\/tr>\n

JEL Classification<\/strong><\/span><\/span>:<\/strong><\/span><\/span>G11, G12<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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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. […]<\/p>\n

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