Sökning: "The Black-Litterman"

Visar resultat 6 - 10 av 28 uppsatser innehållade orden The Black-Litterman.

  1. 6. The Black-Litterman Asset Allocation Model - An Empirical Analysis of Its Practical Use

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Hampus Ernstsson; Max Börjes Liljesvan; [2021]
    Nyckelord :Black-Litterman model; asset allocation; portfolio optimization; investor views; portfolio management; Black-Litterman model; tillgångsallokering; portföljoptimering; investerarens förväntade avkastningar; portföljförvaltning;

    Sammanfattning : Modern portfolio theory has its attractive characteristics of promoting diversification in a portfolio and can be seen as an easy alternative for setting optimal weights for portfolio managers. Furthermore, as portfolio managers try to beat a defined benchmark for their portfolio the Black-Litterman model allows them to include their own prospects on the future return of markets and securities. LÄS MER

  3. 7. The Black-Litterman Model: An Investigation of Confidence

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Per Malm; [2021]
    Nyckelord :Keywords: Black-Litterman model; Idzorek’s extension; Confidence; Sensitivity; Business and Economics;

    Sammanfattning : This paper examines Idzorek’s extension of the Black-Litterman model with respect to confidence levels and makes a general comparison with the Canonical Reference Model. To test Idzorek’s method a global equities portfolio is constructed using assets representing nine different countries consisting in total of 80. LÄS MER

  4. 8. Strategy Analysis and Portfolio Allocation : A study using scenario simulation and allocation theories to investigate risk and return

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Emil Bylund Åberg; Johannes Fåhraeus; [2020]
    Nyckelord :Allocation theories; Markowitz; Black-Litterman; scenario modeling; risk measures; return; benchmark; investment strategy; Allokerings teorier; Markowitz; Black-Litterman; scenario moderering; riskmått; avkastning; jämförelseindex; investerings strategier;

    Sammanfattning : Portfolio allocation theories have been studied and used ever since the mid 20th century. Nevertheless, many investors still rely on personal expertise and information gathered from the market when building their investment portfolios. LÄS MER

  5. 9. Performance testing theblack-litterman model on OMXS30

    Kandidat-uppsats, Stockholms universitet/Finansiering

    Författare :Fredrik Marcusson; Patrik Petersson; [2019]
    Nyckelord :performance testing; omx30; black-litterman; portfolio theory;

    Sammanfattning : An investor wants to maximize return at the cost of as little risk as possible and theBlack-Litterman model can help see that this condition is met. This thesis willinvestigate whether a portfolio created by using modern portfolio theory can beat thebenchmark index in terms of risk-adjusted return during a five year backtest period(2013-2017). LÄS MER

  7. 10. Robo-advisors on the Swedish Market : From a Portfolio Management Perspective

    Master-uppsats, Högskolan i Jönköping/Internationella Handelshögskolan

    Författare :Sebastian Mhanga; Axel Berg; [2019]
    Nyckelord :;

    Sammanfattning : Robo-advisory is a new category in portfolio management and the investment management industry. Few studies have been done on how robo-advisors’ perform in the long run. The purpose of this research is to replicate and backtest the Swedish robo-advisors’ from 2010 to 2019 and analyse their performance. LÄS MER