Essays about: "Jens Norell"

Found 1 essay containing the words Jens Norell.

  1. 1. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jens Norell; Eric Dove; [2016]
    Keywords : Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

    Abstract : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. READ MORE