Sökning: "Shyam Hirani"
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1. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework
Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : 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. LÄS MER
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