Sökning: "Black-Litterman Model"
Hittade 3 avhandlingar innehållade orden Black-Litterman Model.
1. The Black-Litterman Model : mathematical and behavioral finance approaches towards its use in practice
Sammanfattning : The financial portfolio model often referred to as the Black-Litterman model is analyzed using two approaches; a mathematical and a behavioral finance approach. After a detailed description of its framework, the Black-Litterman model is derived mathematically using a sampling theoretical approach. LÄS MER
2. The Black-Litterman Model : Towards its use in practice
Sammanfattning : The Black-Litterman model is analyzed in three steps seeking to investigate, develop and test the B-L model in an applied perspective. The first step mathematically derives the Black-Litterman model from a sampling theory approach generating a new interpretation of the model and an interpretable formula for the parameter weight-on-views. LÄS MER
3. Copula-based Portfolio Optimization
Sammanfattning : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. LÄS MER