Sökning: "Shyam Hirani"

Hittade 1 uppsats innehållade orden Shyam Hirani.

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

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

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

    Sammanfattning : 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