Essays about: "Black- Litterman Model"
Showing result 11 - 15 of 25 essays containing the words Black- Litterman Model.
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11. Application of Mean Absolute Deviation Optimization in Portfolio Management
University essay from KTH/Matematisk statistikAbstract : This thesis is an implementation project of a portfolio optimization model, with the purpose of creating a decision support tool. It aims to provide quantitative input to the portfolio construction process at Handelsbanken Fonder, by applying Konno & Yamazaki’s Mean Absolute Deviation method, with a Feinstein & Thapa modification. READ MORE
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12. 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/NationalekonomiAbstract : 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
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13. Optimizing the net interest margin of a bank : An extension of the Black-Litterman model with financial regulations
University essay from KTH/Optimeringslära och systemteoriAbstract : A bank's business model is based on borrowing and lending, and by borrowing funds at a lower rate and lending these funds at a higher rate, the bank makes a profit. Thus, a key task in each bank's operations is to maximize its net interest margin. READ MORE
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14. A Black-Litterman portfolio allocation model combined with a Markov switching framework
University essay from Lunds universitet/Matematisk statistikAbstract : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. READ MORE
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15. Should Bitcoin Be Considered a Complementary Asset in a Long-Term Investment Portfolio?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis is set out to examine the risk-adjusted performance impact of including Bitcoin in a Swedish investor’s portfolio, how the allocation of a Swedish investor’s portfolio changes by the inclusion of Bitcoin, and if Bitcoin should be part of a Swedish investor’s portfolio under pessimistic views. To examine these questions, we use the Sharpe ratio, Sortino ratio, Omega ratio and the Black-Litterman model. READ MORE