Essays about: "litterman"

Showing result 6 - 10 of 27 essays containing the word litterman.

  1. 6. The Black-Litterman Model: An Investigation of Confidence

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Malm; [2021]
    Keywords : Keywords: Black-Litterman model; Idzorek’s extension; Confidence; Sensitivity; Business and Economics;

    Abstract : This paper examines Idzorek’s extension of the Black-Litterman model with respect to confidence levels and makes a general comparison with the Canonical Reference Model. To test Idzorek’s method a global equities portfolio is constructed using assets representing nine different countries consisting in total of 80. READ MORE

  3. 7. Strategy Analysis and Portfolio Allocation : A study using scenario simulation and allocation theories to investigate risk and return

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Emil Bylund Åberg; Johannes Fåhraeus; [2020]
    Keywords : Allocation theories; Markowitz; Black-Litterman; scenario modeling; risk measures; return; benchmark; investment strategy; Allokerings teorier; Markowitz; Black-Litterman; scenario moderering; riskmått; avkastning; jämförelseindex; investerings strategier;

    Abstract : Portfolio allocation theories have been studied and used ever since the mid 20th century. Nevertheless, many investors still rely on personal expertise and information gathered from the market when building their investment portfolios. READ MORE

  4. 8. Performance testing theblack-litterman model on OMXS30

    University essay from Stockholms universitet/Finansiering

    Author : Fredrik Marcusson; Patrik Petersson; [2019]
    Keywords : performance testing; omx30; black-litterman; portfolio theory;

    Abstract : An investor wants to maximize return at the cost of as little risk as possible and theBlack-Litterman model can help see that this condition is met. This thesis willinvestigate whether a portfolio created by using modern portfolio theory can beat thebenchmark index in terms of risk-adjusted return during a five year backtest period(2013-2017). READ MORE

  5. 9. Robo-advisors on the Swedish Market : From a Portfolio Management Perspective

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Sebastian Mhanga; Axel Berg; [2019]
    Keywords : ;

    Abstract : Robo-advisory is a new category in portfolio management and the investment management industry. Few studies have been done on how robo-advisors’ perform in the long run. The purpose of this research is to replicate and backtest the Swedish robo-advisors’ from 2010 to 2019 and analyse their performance. READ MORE

  6. 10. Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Eismann Eismann; [2018]
    Keywords : ;

    Abstract : Modern portfolio theory first gained its ground among researchers and academics, but has become increasingly popular among practitioners. This paper examines the two popular portfolio optimization models, Markowitz mean-variance model and Black-Litterman formula and compares their results on real data. READ MORE