Essays about: "Black- Litterman Model"
Showing result 1 - 5 of 20 essays containing the words Black- Litterman Model.
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1. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. READ MORE
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2. PORTFOLIO OPTIMIZATION WITH CRYPTO ASSETS : Analyzing the Impact of the Investors' Subjective Views on Portfolio Risk
University essay from Umeå universitet/FöretagsekonomiAbstract : Cryptocurrencies’ population is growing continuously and so is their relevance for portfolio management theory. But as a new asset class with different characteristics and trading patterns, the inclusion of crypto assets to a portfolio brings several difficulties and many professional investors shy away from implementing them. READ MORE
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3. The Black-Litterman Model: An Investigation of Confidence
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper examines Idzorek’s extension of the Black-Litterman model with respect to confidence levels and makes a general comparison with the Canonical Reference Model. To test Idzorek’s method a global equities portfolio is constructed using assets representing nine different countries consisting in total of 80. READ MORE
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4. Strategy Analysis and Portfolio Allocation : A study using scenario simulation and allocation theories to investigate risk and return
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Portfolio allocation theories have been studied and used ever since the mid 20th century. Nevertheless, many investors still rely on personal expertise and information gathered from the market when building their investment portfolios. READ MORE
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5. Performance testing theblack-litterman model on OMXS30
University essay from Stockholms universitet/FinansieringAbstract : An investor wants to maximize return at the cost of as little risk as possible and theBlack-Litterman model can help see that this condition is met. This thesis willinvestigate whether a portfolio created by using modern portfolio theory can beat thebenchmark index in terms of risk-adjusted return during a five year backtest period(2013-2017). READ MORE