Essays about: "Yuliya Prysyazhnyuk"

Found 1 essay containing the words Yuliya Prysyazhnyuk.

  1. 1. Testing The Black- Litterman Model: Sensitivity of Weight Vector to the Variance of Views

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yuliya Prysyazhnyuk; Saida Ojagverdiyeva; [2011]
    Keywords : Black- Litterman model; views; portfolio optimization; variance-covariance matrix ; Business and Economics;

    Abstract : The paper investigates sensitivity of the optimal portfolio obtained from the Black Litterman model to the specification of the inputs. Specifically estimation methods of the variances of the views are employed and the results are analysed. For this purpose the MSCI indices of 14 European countries are experienced. READ MORE