Journal of Economic and Social Dynamics

Abstract

A portfolio optimization plays a critical role in the financial world. Today the portfolio managers, financial

and investment analysts, quantitative researchers from different financial institutions and companies try to

f

ind new or better approaches to optimize the investment portfolio in comparison with classical techniques.

Nobel prized Harry Markowitz in 1952 introduced his world famous model which is still used by financial

scientists in researches as a benchmark or as a background to develop new approaches. The model has some

limitations in terms of data normality assumption, historical mean- variance approach instead of potential

risks evaluation and others. As a result, some assumptions become irrelevant in real market conditions.

Black-Litterman model developed by Fischer Black and Robert Litterman in 1992 attempts to handle some

limitations of Markowitz model. This research project will use the Black-Litterman model as a background

for further investigation. The view matrix construction will use the Machine Learning and Deep Learning

models predictions. MLDL-based Black-Litterman model is expected to demonstrate higher cumulative re

turns and Sharp rations in comparison with classical Markowitz and BL models.