Essays about: "A Quantitative Risk Optimization of Markowitz Model"

Found 2 essays containing the words A Quantitative Risk Optimization of Markowitz Model.

  1. 1. The Black Litterman Asset Allocation Model : An empirical comparison of approaches for estimating the subjective view vector and implications for risk-return characteristics

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Nationalekonomi

    Author : Viktor Trollsten; Sebastian Olsson; [2018]
    Keywords : ;

    Abstract : Background In the early 90’s, Black and Litterman extended the pioneering work of Markowitz by developing a model combining qualitative and quantitative research in a delicate optimization process. It allows for a subjective view parameter in a quantitative model and with absent views, the investor will have no reason to deviate from the market equilibrium portfolio. READ MORE

  2. 2. A Quantitative Risk Optimization of Markowitz Model : An Empirical Investigation on Swedish Large Cap List

    University essay from Mälardalens högskola/Institutionen för matematik och fysik; Mälardalens högskola/Institutionen för matematik och fysik

    Author : Oliver Bjärnbo; Amir Kheirollah; [2007]
    Keywords : Optimisation; Portfolio theory; Stock Market; Markowitz; Excel Modeling; VaR; Sharpe ratio;

    Abstract : This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. READ MORE