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International Conference on Complex Sciences

Complex 2012: Complex Sciences pp 83–94Cite as

Portfolio Optimization and Corporate Networks: Extending the Black Litterman Model

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Abstract

The Black Litterman (BL) model for portfolio optimization combines investors’ expectations with the Markowitz framework. The BL model is designed for investors with private information or with knowledge of market behavior. In this paper I propose a method where investors’ expectations are based on accounting variables, recommendations of financial analysts, and social network indicators of financial analysts and corporate directors. The results show promise when compared to those of an investor that only uses market price information. I also provide recommendations about trading strategies using the results of my model.

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Author information

Authors and Affiliations

  1. Stevens Institute of Technology, Hoboken, NJ, 07030, USA

    Germán Creamer

Authors
  1. Germán Creamer
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Editor information

Editors and Affiliations

  1. Sandia National Laboratories, 87506, Santa Fe, NM, USA

    Kristin Glass  & Richard Colbaugh  & 

  2. Volterra Partners, SW15 1SF, London, UK

    Paul Ormerod

  3. Sandia National Laboratories, 87185-1421, Albuquerque, NM, USA

    Jeffrey Tsao

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© 2013 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering

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Creamer, G. (2013). Portfolio Optimization and Corporate Networks: Extending the Black Litterman Model. In: Glass, K., Colbaugh, R., Ormerod, P., Tsao, J. (eds) Complex Sciences. Complex 2012. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 126. Springer, Cham. https://doi.org/10.1007/978-3-319-03473-7_8

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  • DOI: https://doi.org/10.1007/978-3-319-03473-7_8

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-03472-0

  • Online ISBN: 978-3-319-03473-7

  • eBook Packages: Computer ScienceComputer Science (R0)

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