Black-Litterman Portfolio Optimization Using Regime Switching CAPM and ABC-MCMC: Empirical Evidence from the Vietnamese Stock Market period 2019 - 2025
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DOI:
https://doi.org/10.63640/3030-4091/jpd.apd.194Từ khóa:
Black-Litterman; Dynamic CAPM; ABC-MCMC; Portfolio Optimization; Frontier Markets; Structural BreaksTóm tắt
This study proposes a robust portfolio construction method that integrates the Black-Litterman and CAPM models. In this study, market status is determined using a risk-adjusted score-based index. This status is derived from the Sharpe rotation ratio, estimated via the Markov Chain Monte Carlo algorithm with approximate Bayesian inference. The research model uses a weekly dataset of 33 representative stocks of the VNIndex from 2019 to 2025. The research results provide strong evidence of the VNIndex's highly volatile Beta, indicating very high market risk in Vietnam. Empirical results show that the proposed active investment strategy significantly outperforms passive strategies using a static Markowitz model. Furthermore, sensitivity analysis showed that a shorter adjustment window (6 months) yielded higher forecasting accuracy compared to the standard 1-year timeframe, reflecting the rapid price volatility of the Vietnamese market. These findings led the team to recommend that “Applying a proactive and conditional investment strategy will yield more positive results for investors in the Vietnamese stock market”.
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