The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

中文翻译：

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越南股市投资组合优化的 Black-Litterman 模型

Black-Litterman 资产配置模型是一种扩展的投资组合管理模型，通过将市场均衡与投资者观点结合到资产配置决策中来构建最优投资组合。在本文中，我们将 Black-Litterman 模型应用于越南股票市场的投资组合优化。我们选择了金融计量经济学中使用的 ARIMA 方法来预测投资者的观点，这些观点被用作 Black-Litterman 资产配置过程的输入，以找到最优的投资组合和权重。