Essays about: "litterman"
Showing result 16 - 20 of 27 essays containing the word litterman.
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16. Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. READ MORE
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17. Black-Litterman Model : Practical Asset Allocation Model Beyond Traditional Mean-Variance
University essay from Mälardalens högskola/Utbildningsvetenskap och MatematikAbstract : Today the Black-Litterman model is used as an asset allocation tool by many of the largest investment banks around the globe. The Black-Litterman model was derived based on the Mean- Variance framework to maximize return for a given level of portfolio risk. READ MORE
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18. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : 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
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19. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management
University essay from KTH/Matematisk statistikAbstract : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. READ MORE
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20. Black-Litterman allocation model: Application and comparision with OMX Stockholm Benchmark PI (OMXSBPI)
University essay from Lunds universitet/Matematisk statistikAbstract : .... READ MORE
