Applied Computing for Portfolio Optimization in Bulgarian Stock Exchange

The modern portfolio theory applies many computations, needed for assessment of investment policies of financial assets. The optimal portfolio decisions are based on quantitative evaluations, following numerical models and formal relations. Thus, applied computing supports the financial decisions. Without informatics tools and computational environment, such kind of portfolio optimizations is impossible to perform. This paper makes and application of applied computing for the case of estimation and assessing three types of portfolios. They are based on advanced chapters of modern portfolio theory and portfolio optimization. It is provided comparisons between investment policies, which have been developed by mean-variance model and Black-Litterman model with classical and modified formalization of expert views. The applied computations have been performed in MATLAB environment with real data of the Bulgarian Stock Exchange.