Comparison of the Applicability of Different Portfolio Optimization Models across Three Emerging Markets under Different Market Conditions

In the realm of portfolio optimization, the Markowitz and Black-Litterman models play a significant role. This study closely examines their performance in three broad market indices; the Nifty-Fifty of India, the PSEi Composite of the Philippines, and the FTSE Bursa Malaysia KLCI of Malaysia across diverse market conditions. The evaluation involves comparing portfolios, alongside market-cap-weighted portfolios, and using metrics like the Sharpe and Information ratios to gauge the effectiveness of the portfolios. Results revealed that MV performed better in economic crises, while B-L excelled in rapid market shifts and volatile conditions. B-L also outperformed during bullish trends, except in Malaysia. Both models offer insights, but adaptability varies. Investors should align models with market conditions, bridging theory and application.