Template-Type: ReDIF-Article 1.0
Author-Name: Igor S. Ivanchenko
Author-Email: ivanchenko_is@mail.ru
Author-Name: Dennis Danso Osei
Author-Email: denngi@yahoo.com
Author-Workplace-Name: Rostov State University of Economics, Rostov-on-Don, Russia Title:  Optimization of the Russian International Reserves Structure Using the Black-Litterman Model
Title: Optimization of the Russian Gold and Foreign Exchange Reserves Structure Using the Black-Litterman Model 
Abstract:  The article describes the results of optimizing the portfolio of Russia’s international reserves using the Black-Litterman model based on the minimum risk and maximum yield criteria.
Classification-JEL: F21
Keywords: international reserves, optimization of the asset portfolio, the Black-Litterman model
Journal: Finansovyj žhurnal — Financial Journal
Pages: 26-38
Issue: 1
Year: 2018
Month: February
DOI: 10.31107/2075-1990-2018-1-26-38
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2018/1/statii_2018_1/fm_2018_1__02.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:180102:p:26-38