Change search
ReferencesLink to record
Permanent link

Direct link
Black-Littermans allokeringsmodell: En empirisk studie av prognosvariansen och dess betydelse för portföljprestationen
Linköping University, Department of Management and Engineering.
Linköping University, Department of Management and Engineering.
2016 (Swedish)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
The Black-Litterman Allocation Model : An empirical study of the views variance and its importance to portfolio performance (English)
Abstract [sv]

Black-Litterman är en allokeringsmodell som gör det möjligt att förena historiska avkastningar med personliga övertygelser om framtida avkastningar från en enskild investerare. Denna studie jämför två kvantitativa metoder i framtagande av felskattningen för framtida prognoser i syfte att kunna minska Black-Littermans subjektivitet. Tidigare litteratur har testat dessa metoder enskilt men aldrig ställt dem mot varandra. De metoder som undersöks använder varianser proportionella mot varianser i marknadsjämvikten, samt varianser från residualer i en faktormodel. Resultatet visar att tillämpandet av varianser framtagna av en GARCH (1,1)-modell är den metod som genererar högst avkastning, samt ger upphov till en fördelning av tillgångar som bidrar till lägst marknadskänslighet. Utifrån denna studie rekommenderas därmed tillämpningen av varianser från residualer i en faktormodel som tillägg för att minska modellens godtycklighet. 

Abstract [en]

The Black-Litterman allocation model unifies historical returns with investor personal views of future returns. The study compares two quantitative methods for the estimation of uncertainty in future views with the goal to mitigate the subjectivity of the Black-Litterman model. Previous literature have investigated and tested these methods independently but a comparison has never been made between them. The two methods consist of using variances in proportion to the variances of market equilibrium and operating the residual variance of a factor model. Results show that the usage of variances estimated by a GARCH (1,1) will generate the highest average returns with an allocation distribution that contributes to least market sensitivity. Furthermore, the study recommends the implementation of variances from residuals with the addition of a factor model to diminish the subjectivity of the Black-Litterman model.

Place, publisher, year, edition, pages
2016. , 67 p.
Keyword [en]
The Black-Litterman, GARCH, Allocation Model, portfolio performance, views, variance
Keyword [sv]
The Black-Litterman, GARCH, allokeringsmodell, portföljprestation, prognos, varians
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-130814ISRN: LIU-IEI-FIL-A--1602366--SEOAI: oai:DiVA.org:liu-130814DiVA: diva2:955472
Subject / course
Master Thesis in Business and Economics Programme (Economics)
Supervisors
Examiners
Available from: 2016-08-30 Created: 2016-08-25 Last updated: 2016-08-30Bibliographically approved

Open Access in DiVA

fulltext(12452 kB)2 downloads
File information
File name FULLTEXT01.pdfFile size 12452 kBChecksum SHA-512
9117e2d49cd5b9810b4c864fe44ca30798f2fedeea4352b65886d0647b0e7cb3dc1a1bb4a3ef4b1dfa5f120c8b8252bd17bef59e4b8f00cad4a07c1d60bdb3ea
Type fulltextMimetype application/pdf

By organisation
Department of Management and Engineering
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 2 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 25 hits
ReferencesLink to record
Permanent link

Direct link