Essays about: "litterman"

Showing result 11 - 15 of 27 essays containing the word litterman.

  1. 11. Application of Mean Absolute Deviation Optimization in Portfolio Management

    University essay from KTH/Matematisk statistik

    Author : Gustav Rehnman; Nils Tesch; [2018]
    Keywords : Portfolio Theory; Linear Programming; Mean Absolute Deviation; Black-Litterman; Portföljteori; Linjär Programmering; Mean Absolute Deviation; Black-Litterman.;

    Abstract : 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

  3. 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/Nationalekonomi

    Author : Viktor Trollsten; Sebastian Olsson; [2018]
    Keywords : ;

    Abstract : 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

  4. 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 systemteori

    Author : Josefin Hansson; Annie Zhang; [2018]
    Keywords : ;

    Abstract : 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

  5. 14. A Black-Litterman portfolio allocation model combined with a Markov switching framework

    University essay from Lunds universitet/Matematisk statistik

    Author : Axel Skantze; [2018]
    Keywords : Mathematics and Statistics;

    Abstract : 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

  6. 15. Should Bitcoin Be Considered a Complementary Asset in a Long-Term Investment Portfolio?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kasper Ahnhem; Linus Lindberg; [2017]
    Keywords : Bitcoin; digital currency; Sharpe ratio; Sortino ratio; Omega ratio; Black- Litterman Model; portfolio allocation; Business and Economics;

    Abstract : 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