Sports Betting and The Black-Litterman Model: A New Portfolio-Management Perspective

Isabel Abinzano
Maria Jesus Campion
Luis Muga
and Armajac Raventós-Pujol

This paper transfers and adapts the Black-Litterman portfolio management model and its subsequent generalizations to the characteristics and specificities of assets quoted on sports betting markets. The results show that these assets are suitable for the application of portfolio management models with the possible inclusion of investors’ opinions. Information based on the variability of market prices and the attention received by NBA teams in Google Trends is successfully used to simulate the opinions expressed by a hypothetical portfolio manager. Furthermore, the assets are suitable for inclusion in portfolios in which managers are seeking returns uncorrelated with other assets.