Essays about: "litterman"

Showing result 21 - 25 of 27 essays containing the word litterman.

  1. 21. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Shyam Hirani; Jonas Wallström; [2014]
    Keywords : Black-Litterman mean-variance portfolio optimization efficient frontier sensitivity analysis high-yield strategy canonical reverse optimization equilibrium portfolio CAPM;

    Abstract : Within the scope of this thesis, the Black-Litterman Asset Allocation Model (as presented in He & Litterman, 1999) is compared to the classical mean-variance framework by simulating past performance of portfolios constructed by both models using identical input data. A quantitative investment strategy which favours stocks with high dividend yield rates is used to generate private views about the expected excess returns for a fraction of the stocks included in the sample. READ MORE

  3. 22. The Black-Litterman Model Applied on OMXS30

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Gertzell; [2013]
    Keywords : Black-Litterman; portfolio optimization; omxs30; Business and Economics;

    Abstract : This thesis applies the Black-Litterman (BL) model on the stocks that makes up the Swedish stock index OMXS30 during the year of 2012. Public information in the form of stock recommendations from financial institutions has been used as views in the BL-framework. READ MORE

  4. 23. Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios

    University essay from IHH, Företagsekonomi

    Author : Victor Karlsson; Rikard Svensson; Viktor Eklöf; [2012]
    Keywords : Finance; Modern Portfolio Theory; Product Portfolios; Black-Litterman; Efficient Frontier; Investment Decisions; Commodities; Hedging; Risk Management; Contingent Hedge; Diversification; Risk Minimization; Return Optimization; Mining; Metals;

    Abstract : In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. READ MORE

  5. 24. Applying the Black-Litterman Model on the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl-Johan Arestad; Johan Rahmqvist; [2012]
    Keywords : Black-Litterman; Mean-Variance; views; portfolio allocation; portfolio weights; Business and Economics;

    Abstract : This thesis investigates the applicability of the Black-Litterman portfolio allocation model on the Swedish stock market for the time period January 2008 to April 2012 and aims to bring clarity to the implementation process of the model. We also implement a new estimation approach for the confidence in analyst views. READ MORE

  6. 25. 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