The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework

The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework

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 investmen...

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Bibliographic Details
Main Authors: Hirani, Shyam, Wallström, Jonas
Format: Others
Language:English
Published: Linköpings universitet, Nationalekonomi 2014
Subjects:
Black-Litterman mean-variance portfolio optimization efficient frontier sensitivity analysis high-yield strategy canonical reverse optimization equilibrium portfolio CAPM
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-111570

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