Sökning: "The Black-Litterman"

Visar resultat 11 - 15 av 28 uppsatser innehållade orden The Black-Litterman.

1. 11. Markowitz vs Black--Litterman: A Comparison of Two Portfolio Optimisation Models

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

   Författare :Eismann Eismann; [2018]
   Nyckelord :;

   Sammanfattning : 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. LÄS MER

3. 12. Application of Mean Absolute Deviation Optimization in Portfolio Management

   Master-uppsats, KTH/Matematisk statistik

   Författare :Gustav Rehnman; Nils Tesch; [2018]
   Nyckelord :Portfolio Theory; Linear Programming; Mean Absolute Deviation; Black-Litterman; Portföljteori; Linjär Programmering; Mean Absolute Deviation; Black-Litterman.;

   Sammanfattning : This thesis is an implementation project of a portfolio optimization model, with the purpose of creating a decision support tool. It aims to provide quantitative input to the portfolio construction process at Handelsbanken Fonder, by applying Konno & Yamazaki’s Mean Absolute Deviation method, with a Feinstein & Thapa modification. LÄS MER

4. 13. The Black Litterman Asset Allocation Model : An empirical comparison of approaches for estimating the subjective view vector and implications for risk-return characteristics

   Master-uppsats, Linköpings universitet/Nationalekonomi

   Författare :Viktor Trollsten; Sebastian Olsson; [2018]
   Nyckelord :;

   Sammanfattning : Background In the early 90’s, Black and Litterman extended the pioneering work of Markowitz by developing a model combining qualitative and quantitative research in a delicate optimization process. It allows for a subjective view parameter in a quantitative model and with absent views, the investor will have no reason to deviate from the market equilibrium portfolio. LÄS MER

5. 14. Optimizing the net interest margin of a bank : An extension of the Black-Litterman model with financial regulations

   Kandidat-uppsats, KTH/Optimeringslära och systemteori

   Författare :Josefin Hansson; Annie Zhang; [2018]
   Nyckelord :;

   Sammanfattning : A bank's business model is based on borrowing and lending, and by borrowing funds at a lower rate and lending these funds at a higher rate, the bank makes a profit. Thus, a key task in each bank's operations is to maximize its net interest margin. LÄS MER

7. 15. A Black-Litterman portfolio allocation model combined with a Markov switching framework

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Axel Skantze; [2018]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : This is a M.Sc. thesis investigating the compatibility and performance of a regime switching framework as a complement to the Black-Litterman portfolio allocation model. Conclusively, it is considered to be a compatible match of models in terms of practical implementation and the results indicate that the model is performing well. LÄS MER