QuantitativeForecastModelfortheApplicationof
theBlack-LittermanApproach
FranziskaBecker*undMarcGürtler**
:
Theestimationofexpectedsecurityreturnsisoneofthemajortasksforthepracticalimple-
mentationoftheMarkowitzoptimization.Againstthisbackground,in1992BlackandLit-
termandevelopedanapproachbasedon(theoreticalestablished)expectedequilibriumreturns
whichalsoaccountsforsubjectiveinvestors’views.Incontrasttohistoricalestimatedreturns,
whichleadtoextremeassetweightswithintheMarkowitzoptimization,theBlack-Litterman
modelgenerallyresultsinbalancedportfolioweights.However,theexistenceofinvestors’
viewsiscrucialfortheBlack-Littermanmodelandwithabsentviewsnoactiveportfolio
managementispossible.Moreoverproblemswiththeimplementationofthemodelarise,as
analysts’forecastsaretypicallynotavailableinthewaytheyareneededfortheBlack-
Litterman-approach.Inthiscontextwepresenthow(publiclyavailable)analysts’dividend
forecastscanbeusedtodetermineana-priori-estimationoftheexpectedreturnsandhowthey
canbeintegratedintotheBlack-Littermanmodel.Forthispurposeconfidencesoftheinves-
tors’viewsaredeterminedfromthenumberofanalysts’forecastsaswellasfromaMonte-
Carlosimulation.Afterintroducingourtwomethodsofviewgeneration,weexaminetheef-
fectsoftheBlack-Littermanapproachonportfolioweightsinanempiricalstudy.Finally,the
performanceoftheBlack-Littermanmodeliscomparedtoalternativeportfolioallocation
strategiesinanout-of-samplestudythathasnotbeenpresentedinliteraturebeforetothebest
ofourknowledge.
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