Sökning: "black litterman"

Visar resultat 1 - 5 av 29 uppsatser innehållade orden black litterman.

  1. 1. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
    Nyckelord :;

    Sammanfattning : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. LÄS MER

  3. 2. The Rational Investor is a Bayesian

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Jiajun Qu; [2022]
    Nyckelord :Portfolio optimization; Mean-variance optimization; Bayesian approach; Linear shrinkage; Black-Litterman; Robust optimization;

    Sammanfattning : The concept of portfolio optimization has been widely studied in the academy and implemented in the financial markets since its introduction by Markowitz 70 years ago. The problem of the mean-variance optimization framework caused by input uncertainty has been one of the foci in the previous research. LÄS MER

  4. 3. PORTFOLIO OPTIMIZATION WITH CRYPTO ASSETS : Analyzing the Impact of the Investors' Subjective Views on Portfolio Risk

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Sebastian Palmquist; Janis Mednis; [2022]
    Nyckelord :;

    Sammanfattning : Cryptocurrencies’ population is growing continuously and so is their relevance for portfolio management theory. But as a new asset class with different characteristics and trading patterns, the inclusion of crypto assets to a portfolio brings several difficulties and many professional investors shy away from implementing them. LÄS MER

  5. 4. A Neural Network Approach for Generating Investors’ Views in the Black-Litterman Model

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Rafael Lavatt; [2022]
    Nyckelord :Black-Litterman; Neural Networks; Portfolio Optimization; Black-Litterman; Neurala nätverk; portföljoptimering;

    Sammanfattning : This thesis investigates how neural networks can be used to produce investors' views for the Black-Litterman market model. The study uses two data sets, one with global stock market indexes and one with stock market data from the S&P 500. LÄS MER

  7. 5. Black – Litterman eller Markowitz : En jämförelse av optimerade portföljer och OMXS30 index

    Kandidat-uppsats, KTH/Fastigheter och byggande

    Författare :Andreas Andrijasevic; Emma Viberg; [2022]
    Nyckelord :Portfolio; Optimization; OMXS30; Mean–Variance; Portfölj; optimering; OMXS30; medel-varians;

    Sammanfattning : Varje investerare vill se sitt kapital växa så mycket som möjligt men samtidigt inte utsätta kapitalet för onödiga risker. Högre risk, högre avkastning är två synonymer inom den finansiella världen. Investerare världen över söker hela tiden nya möjligheter att öka sin avkastning utan att behöva höja sin risk. LÄS MER