Essays about: "Black-Litterman"

Showing result 1 - 5 of 27 essays containing the word Black-Litterman.

  1. 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 statistik

    Author : Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
    Keywords : ;

    Abstract : 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

  3. 2. The Rational Investor is a Bayesian

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Jiajun Qu; [2022]
    Keywords : Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

    Abstract : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. READ MORE

  4. 3. PORTFOLIO OPTIMIZATION WITH CRYPTO ASSETS : Analyzing the Impact of the Investors' Subjective Views on Portfolio Risk

    University essay from Umeå universitet/Företagsekonomi

    Author : Sebastian Palmquist; Janis Mednis; [2022]
    Keywords : ;

    Abstract : 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

  5. 4. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

    University essay from KTH/Matematik (Avd.)

    Author : Rafael Lavatt; [2022]
    Keywords : Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

    Abstract : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. READ MORE

  6. 5. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

    University essay from KTH/Matematik (Avd.)

    Author : Hampus Ernstsson; Max Börjes Liljesvan; [2021]
    Keywords : Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

    Abstract : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. READ MORE