Papers by Miroslav Vladimirov
Development of Portfolio Theory: Model Black - Letterman
JOURNAL OF THE UNION OF SCIENTISTS - VARNA, ECONOMIC SCIENCES SERIES, 2016
The paper presents a theoretical framework model Black -Litterman. Presented is the canonical mod... more The paper presents a theoretical framework model Black -Litterman. Presented is the canonical model and one of the most used its additions. In the experiments, the report makes a comparative analysis of the use of Black - Litterman and classical model Markowitz.
17TH INTERNATIONAL CONFERENCE ON CONCENTRATOR PHOTOVOLTAIC SYSTEMS (CPV-17)
Determination of static and dynamic stability characteristics of a sailplane based on CFD analysi... more Determination of static and dynamic stability characteristics of a sailplane based on CFD analysis. Part 2 dynamic stability
Sustainability, 2021
The mean-variance (MV) portfolio optimization targets higher return for investment period despite... more The mean-variance (MV) portfolio optimization targets higher return for investment period despite the unknown stochastic behavior of the future asset returns. That is why a risk is explicitly considering, quantified by algebraic characteristics of volatilities and co-variances. A new probabilistic definition of portfolio risk is the Value at Risk (VaR). The paper makes explicit inclusion and minimization of VaR as a quantitative measure of financial sustainability of a portfolio problem. Thus, the portfolio weights as problem solutions will respect not only the MV requirements for risk and return, but also the additional minimization of risk defined by VaR level. The portfolio problem is defined in a new, bi-level form. The upper level minimizes and evaluates the VaR value. The lower level evaluates the optimal assets weights by minimizing portfolio risk and maximizing the return in MV form. The bi-level model allows to have extended set of portfolio solutions with the portfolio wei...
Modeling and Assessment of Financial Investments by Portfolio Optimization on Stock Exchange
Advances in High Performance Computing, 2020
The portfolio optimization is a complex task, addressing decision making of financial investments... more The portfolio optimization is a complex task, addressing decision making of financial investments. A requirement for the portfolio management is to deal with a lot of securities, traded on the stock exchange, frequently containing hundreds of stocks and securities. The modern portfolio theory insists to be defined a portfolio optimization problem, which parameters have to cope historical trends of the assets’ returns, subjective views of experts and additional noisy data, generated from practical and political decisions. The paper addresses the actual model for portfolio optimization based on Black-Litterman approach for integration of historical data and expert views about posterior, future levels of assets’ returns. A special formalism is derived, adding additional expert assessment based on the historical trend of the asset returns, which modify the classical Black-Litterman portfolio model. Risk and Return parameters of the portfolios are evaluated in mathware environments, applying classical methods of the mean variance optimization and the new modified model on Black Litterman optimization. By mathware tools it is demonstrated the ability to evaluate and to assess the portfolio performance. Real data from the world stock exchanges are taken for numerically illustration of the implementation of a modified Black Litterman portfolio model. This research can serve business applications and the topics of portfolio modeling, optimization, decision making, data driven analysis.
Cybernetics and Information Technologies, 2021
The paper realizes inclusion of probabilistic measure for risk, VaR (Value at Risk), into a portf... more The paper realizes inclusion of probabilistic measure for risk, VaR (Value at Risk), into a portfolio optimization problem. The formal analysis of the portfolio problem illustrates the evolution of the portfolio theory in sequentially inclusion of different market characteristics into the problem. They make modifications and complications of the portfolio problem by adding various constraints to consider requirements for taxes, boundaries for assets, cardinality constraints, and allocation of the investment resources. All these characteristics and parameters of the investment participate in the portfolio problem by analytical algebraic relations. The VaR definition of the portfolio risk is formalized in a probabilistic manner. The paper applies approximation of such probabilistic constraint in algebraic form. Geometrical interpretation is given for explaining the influence of the VaR constraint to the portfolio solution. Numerical simulation with data of the Bulgarian Stock Exchange...
Decision Support in Real Estate Investment by Portfolio Theory
2021 International Conference Automatics and Informatics (ICAI), 2021
Quantitative approach is developed for decision making in investments in real estates. The decisi... more Quantitative approach is developed for decision making in investments in real estates. The decision making is based on formal model of portfolio theory. The process of decision making is based on definition and solution of a set of portfolio optimization problems. The developed formalization of decision making is illustrated with real data of the real estate market in Bulgaria. The National and regional markets in Bulgariaaare analyzed. Optimal investment solutions in old and/or new real estates are evaluated.
Quantitative Entrepreneurship Applying Portfolio Theory
2020 XXIX International Scientific Conference Electronics (ET), 2020
The paper applies quantification approach for the assessment of the result of entrepreneurship ac... more The paper applies quantification approach for the assessment of the result of entrepreneurship activities in resource allocation. It has been used model from the portfolio theory by means to maximize the investment profit and to minimize the risk. Numerical application is given with equities from the Bulgarian Stock Exchange with recent market data. The calculations are illustrated with Excel software suit, which allows practical usage of the developed sheet, programmed in a way to optimize the financial resource allocation.
Assessment of Black Litterman portfolio optimization on Bulgarian Stock Exchange
Proceedings of the 20th International Conference on Computer Systems and Technologies, 2019
Information technology implements its outcomes in development information services, which are ava... more Information technology implements its outcomes in development information services, which are available in virtual environments. The increase of usage of information services insists on the functionalities, offering by the information systems to provide complex treatment of the data. Thus, additional and new business relations are identified and can be taken in consideration in managing and decision making in complex systems. This research makes formalization to provide portfolio optimization of financial resources as information service. Part of the Modern portfolio theory for the case of Black-Litterman model is decomposed to sequential algorithm, which can be implemented by software in an information service. Due to its complex nature, the Black-Litterman model has been illustrated by application using real data of Bulgarian Stock Exchange. The paper's benefit concerns the definition of appropriate algorithm of portfolio optimization, considering its implementation in informa...
Application of Information Technology in Real Estate Marketing
2021 12th National Conference with International Participation (ELECTRONICA), 2021
This research presents the application of Information technology for analyzing a dynamically chan... more This research presents the application of Information technology for analyzing a dynamically changing set of numerical data. The data concern the changes of costs and returns in the case of investing in real estate market in Bulgaria. Computer support for a considerable amount of calculations is used. This research concerns the development of an appropriate algorithm for data processing. The paper uses two portfolio models and incorporates them in a derived algorithm for the evaluation and recommendation of a decision about investment in real estates. The algorithm is applied to real data of the Bulgarian real estate market.
Information Technology Support for Portfolio Optimization
2020 XI National Conference with International Participation (ELECTRONICA), 2020
The paper describes an application of information technology to support decision-making for portf... more The paper describes an application of information technology to support decision-making for portfolio optimal investment. The decision making task is formalized as a portfolio optimization problem solved in Excel environment, which provides a practical tool for implementation in decision-making. The portfolio optimization applies maximization of Net Present Value (NPV) because the riskless return is close to zero. The obtained information technology solution is numerically tested with mutual funds, traded on the Bulgarian Stock Exchange in 2019.
Entrepreneurship and Management in Real Estate Trades
2021 XXX International Scientific Conference Electronics (ET), 2021
Entrepreneurship and management address the domain of real estate trades. Quantitative approach i... more Entrepreneurship and management address the domain of real estate trades. Quantitative approach is suggested for the active management of the investment processes. The markets places of three big towns in Bulgaria are analyzed. The quantification of the decision making is based on the portfolio theory. Mean-Variance and Black-Litterman models are applied for the assessing the management policies. The portfolio models are fed with real data from the Bulgarian real estate markets. The added value of the paper results in a quantitative recommendation for trades in preferable regional market places.
Decrease of the portfolio computational workload following the Capital Asset Pricing theory
IOP Conference Series: Materials Science and Engineering, 2020
The paper derives an evaluation algorithm for decreasing the computational workload in definition... more The paper derives an evaluation algorithm for decreasing the computational workload in definition and solution of portfolio optimization problem. The algorithm applies numerical relations, which lead to transformation of the classical portfolio problem to optimization one, which contains parameters from Capital Market Theory. The decrease of the computational workload results from the inclusion of beta coefficients in the portfolio problem instead of evaluation of the covariance portfolio matrix. The algorithm is illustrated by solution of portfolio problem with mutual funds on Bulgarian Stock Exchange.
IOP Conference Series: Materials Science and Engineering, 2019
Application of the Portfolio theory to appreciation of the Bulgarian stock exchange following the... more Application of the Portfolio theory to appreciation of the Bulgarian stock exchange following the most popular financial indices is presented. The data of these indices corresponds to the same watching periods an year before. Comparison of the optimization problem’s solutions and analysis of the financial activities are commented. Modification of the portfolio optimization problem is proposed for calculation facilitation.
Application of Decision Science in Business and Management, 2019
The time management is important part for tasks in real-time operation of systems, automation sys... more The time management is important part for tasks in real-time operation of systems, automation systems, optimization in complex system, taking explicit consideration in time constraints, scheduling of tasks and operations, making with incomplete data, and time management in different practical cases. The limit in time for taking appropriate decisions for management and control is a strong constraint for the implementation of autonomic functionalities as self-configuration, self-optimization, self-healing, self-protection in computer systems, transportation systems, and distributed systems. Time is an important and expensive resource. The time management in financial domain is a prerequisite for high competitiveness and an increase in the quality of the investment activities. It is the popular phrase that time is money, and particularly, the portfolio optimization targets its implementation in real cases. This research targets the identification of portfolio parameters, which are strongly influenced by time. We restrict our considerations only on portfolio optimization task, and we identify cases, which are strongly influenced by time constraints. Thus, the portfolio optimization problem is discussed on position how the time can influence the portfolio characteristics and solutions. This chapter starts with the description of the object portfolio management, which provides the cases where time in explicit way influences the portfolio problem.
Cybernetics and Information Technologies, 2017
The general contribution of this research is the implementation of new formal type of relative vi... more The general contribution of this research is the implementation of new formal type of relative view, which has been added to the Black-Litterman Model (BLM) for asset management. It is well known that the BLM integrates both historical data about the assets’ returns and subjective views given by experts and investors. Such complicated model is expected to give more realistic assessment about the dynamical behavior of the stock exchanges. The BLM applies both absolute and relative views about the asset returns. The paper proves that the currently applied relative views with equal weights are equivalent to assess the risk of a virtual portfolio with these assets of the view which participate with equal weights. The paper extends this form of views, applying non-equal weights of the assets. This new formal description has been tested on a market, containing ten world known indices for a 10 years period. The calculations which have been provided give benefits to the suggested non-equal ...
Decreasing the Computational Workload in Portfolio Optimization
Decision making by bi-level model of portfolio optimization
2020 International Conference Automatics and Informatics (ICAI), 2020
New formal definition of the portfolio optimization problem is presented in the form of bi-level ... more New formal definition of the portfolio optimization problem is presented in the form of bi-level one. This bi-level formulation integrates the two general forms of the portfolio optimization for maximizing Return and minimizing Risk. Peculiarities of this new formulation are discussed and graphical interpretations are applied. Comparison with modified Sharpe portfolio problem is presented. The bi-level model is assessed with real data of assets from Bulgarian Stock Exchange.
A New Model for Defining Forecasts in Black Litterman
JOURNAL OF THE UNION OF SCIENTISTS - VARNA, ECONOMIC SCIENCES SERIES, 2017
The general contribution of this research is the implementation of new formal type of relative vi... more The general contribution of this research is the implementation of new formal type of relative view, which has been added to the Black-Litterman model (BLM) for asset management. It is well known that the BLM integrates both historical data about the assets returns and subjective views given by experts and investors. Such complicated model is expected to give more realistic assessment about the dynamical behavior of the stock exchanges. The BLM applies both absolute and relative views about the asset returns. The paper proves that the currently applied relative views with equal weights are equivalent to assess the risk of a virtual portfolio with these assets of the view which participate with equal weights. The paper extends this form of views, applying non-equal weights of the assets.
Cybernetics and Information Technologies
An investment policy is suggested about assets on real estate markets. Such analysis recommends i... more An investment policy is suggested about assets on real estate markets. Such analysis recommends investments in non-financial assets and optimization of the results from such decisions. The formalization of the investment policy is based on the portfolio theory for asset allocation. Two main criteria are applied for the decision making: return and risk. The decision support is based on Mean-Variance portfolio model. A dynamical and adaptive investment policy is derived for active portfolio management. Sliding procedure in time with definition and solution of a set of portfolio problems is applied. The decision defines the relative value of the investment to which real estates are to be allocated. The regional real estate markets of six Bulgarian towns, which identify the regions with potential for investments, are compared. The added value of the paper results in development of algorithm for a quantitative analysis of real estate markets, based on portfolio theory.
Applied Computing for Portfolio Optimization in Bulgarian Stock Exchange
Proceedings of the 9th Balkan Conference on Informatics
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Papers by Miroslav Vladimirov