Sökning: "The Black-Litterman"

Visar resultat 21 - 25 av 28 uppsatser innehållade orden The Black-Litterman.

  1. 21. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management

    Master-uppsats, KTH/Matematisk statistik

    Författare :Rickard Bredeby; [2015]
    Nyckelord :Copula opinion pooling; copulas; t copula; views; tail dependence; maximum likelihood; VaR; ES; mean-ES trade-off; portfolio theory; portfolio management; allocation; kernel estimation; correlation.;

    Sammanfattning : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. LÄS MER

  3. 22. 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

  4. 23. The Black-Litterman Model Applied on OMXS30

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Fredrik Gertzell; [2013]
    Nyckelord :Black-Litterman; portfolio optimization; omxs30; Business and Economics;

    Sammanfattning : This thesis applies the Black-Litterman (BL) model on the stocks that makes up the Swedish stock index OMXS30 during the year of 2012. Public information in the form of stock recommendations from financial institutions has been used as views in the BL-framework. LÄS MER

  5. 24. Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios

    Kandidat-uppsats, IHH, Företagsekonomi

    Författare :Victor Karlsson; Rikard Svensson; Viktor Eklöf; [2012]
    Nyckelord :Finance; Modern Portfolio Theory; Product Portfolios; Black-Litterman; Efficient Frontier; Investment Decisions; Commodities; Hedging; Risk Management; Contingent Hedge; Diversification; Risk Minimization; Return Optimization; Mining; Metals;

    Sammanfattning : In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. LÄS MER

  7. 25. Applying the Black-Litterman Model on the Swedish Stock Market

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl-Johan Arestad; Johan Rahmqvist; [2012]
    Nyckelord :Black-Litterman; Mean-Variance; views; portfolio allocation; portfolio weights; Business and Economics;

    Sammanfattning : This thesis investigates the applicability of the Black-Litterman portfolio allocation model on the Swedish stock market for the time period January 2008 to April 2012 and aims to bring clarity to the implementation process of the model. We also implement a new estimation approach for the confidence in analyst views. LÄS MER