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Minimizing Risk of Black-Litterman Portfolio Using Genetic Algorithms
Abstract
In this paper we present a new approach which minimizes the risk of Black-Litterman portfolio using genetic algorithms This approach consists of replacing the CAPM model by the Black-Scoles model to retain the views that optimize investor expectations and finally to choose the degree of uncertainty in parameter in to maximize the return and minimize portfolio risk. This approach is an aid to decision making for the portfolio managers in the financial market.
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