Investors' Expectations and Portfolio Optimization (Black-Litterman Approach) Applied Study in Damascus Stock Exchange

الملخص

This study aimed to evaluate the effectiveness of relying on the (Black-Litterman) model in forming and selecting investment portfolios in line with investor opinions and expectations about the future performance of stocks, in addition to the (Mean - Variance) model and the CAPM, depending on the historical data represented in the daily closing price series of shares for all companies listed on the Damascus Stock Exchange during the period from 1/1/2019 to 7/31/2020. The research found that applying the CAPM with the B-L model helps in focusing on the allocation of portfolio assets optimally when compared to traditional diversification methods, by reducing the number of shares that do not provide any excess returns, which helps the investor to achieve his investment goals and reduce Transaction costs. The application of B-L model which include the investor’s views provides a high possibility, adaptability and flexibility in dealing with new information that comes to the market and the confidence-views matrix ensures the possibility of ensuring its realism and consistency with market information. The superiority of the portfolio that adopted the  B-L returns emerge when comparing investment portfolios as it achieved a double return compared to its peers, which proves the effectiveness of relying on the Bayesian approach and the B-L model to create portfolios that correspond to the investor views and market conditions and trends.