Sökning: "Black-Litterman Model Practical Asset Allocation Model Beyond Traditional Mean-Variance Portfolio Theory"

Hittade 2 uppsatser innehållade orden Black-Litterman Model Practical Asset Allocation Model Beyond Traditional Mean-Variance Portfolio Theory.

1. 1. Black-Litterman Model: Practical Asset Allocation Model Beyond Traditional Mean-Variance

   Kandidat-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Shuhrat Abdumuminov; David Emanuel Esteky; [2016]
   Nyckelord :Black-Litterman Model Practical Asset Allocation Model Beyond Traditional Mean-Variance Portfolio Theory;

   Sammanfattning : 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. LÄS MER

3. 2. Black-Litterman Model : Practical Asset Allocation Model Beyond Traditional Mean-Variance

   Kandidat-uppsats, Mälardalens högskola/Utbildningsvetenskap och Matematik

   Författare :David Emanuel Esteky; SHUHRAT ABDUMUMINOV; [2016]
   Nyckelord :Asset Allocation; Black-Letterman; portfolio theory; practical portfolio management; Mean-Variance; Portfolio optimization; Modern portfolio theory; Portfolio selection; efficent frontier; Markowitz;

   Sammanfattning : 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. LÄS MER