Sökning: "The Black-Litterman"

Visar resultat 16 - 20 av 28 uppsatser innehållade orden The Black-Litterman.

1. 16. Should Bitcoin Be Considered a Complementary Asset in a Long-Term Investment Portfolio?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Kasper Ahnhem; Linus Lindberg; [2017]
   Nyckelord :Bitcoin; digital currency; Sharpe ratio; Sortino ratio; Omega ratio; Black- Litterman Model; portfolio allocation; Business and Economics;

   Sammanfattning : This thesis is set out to examine the risk-adjusted performance impact of including Bitcoin in a Swedish investor’s portfolio, how the allocation of a Swedish investor’s portfolio changes by the inclusion of Bitcoin, and if Bitcoin should be part of a Swedish investor’s portfolio under pessimistic views. To examine these questions, we use the Sharpe ratio, Sortino ratio, Omega ratio and the Black-Litterman model. LÄS MER

3. 17. 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

4. 18. 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

5. 19. Black-Littermans allokeringsmodell : En empirisk studie av prognosvariansen och dess betydelse för portföljprestationen

   Master-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

   Författare :Victor Andregård; Christopher Pezoa; [2016]
   Nyckelord :The Black-Litterman; GARCH; Allocation Model; portfolio performance; views; variance; The Black-Litterman; GARCH; allokeringsmodell; portföljprestation; prognos; varians;

   Sammanfattning : Black-Litterman är en allokeringsmodell som gör det möjligt att förena historiska avkastningar med personliga övertygelser om framtida avkastningar från en enskild investerare. Denna studie jämför två kvantitativa metoder i framtagande av felskattningen för framtida prognoser i syfte att kunna minska Black-Littermans subjektivitet. LÄS MER

7. 20. Black-Litterman Portfolio Allocation Stability and Financial Performance with MGARCH-M Derived Views

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Jens Norell; Eric Dove; [2016]
   Nyckelord :Financial Econometrics; Black-Litterman; Asset Allocation Stability; MGARCH-M; Business and Economics;

   Sammanfattning : 2 Abstract This paper deploys methodology typically utilized in financial econometrics, namely univariate and multivariate GARCH-M forecasting techniques, as inputs into the Black-Litterman asset allocation process. While previous works have examined the usefulness in deploying select GARCH specifications as a source for the required Black-Litterman views vector, to the best of our knowledge, this is the first such work comparing the effects of select GARCH specification on asset allocation volatility. LÄS MER