Active portfolio management using the black-litterman model
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/26199 |
Resumo: | In this project, we are studying the application of the Black-Litterman model for active portfolio management. We focus on three elements that are important for a real-world application of the model. First, we present a robust construction of the variance-covariance matrix that is used as input for the model. Second, we present a rigorous explanation of the model as it was presented initially by Black and Litterman, which is important to highlight the driving mechanisms inside the model. Third, we describe how to adjust the model to an application in an active setting, where the investor is evaluated relative to a benchmark. Empirical evidence for the active case is limited to date. Working with a range of benchmarks (relevant for various types of investors), we derive a portfolio that includes multiple asset classes and present the results obtained under the application of the model. Finally, a simulation exercise was developed to understand how the model reacts to its inputs. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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Active portfolio management using the black-litterman modelgroup projectCovarianceImplied returnsViewsConfidenceDomínio/Área Científica::Ciências Sociais::Economia e GestãoIn this project, we are studying the application of the Black-Litterman model for active portfolio management. We focus on three elements that are important for a real-world application of the model. First, we present a robust construction of the variance-covariance matrix that is used as input for the model. Second, we present a rigorous explanation of the model as it was presented initially by Black and Litterman, which is important to highlight the driving mechanisms inside the model. Third, we describe how to adjust the model to an application in an active setting, where the investor is evaluated relative to a benchmark. Empirical evidence for the active case is limited to date. Working with a range of benchmarks (relevant for various types of investors), we derive a portfolio that includes multiple asset classes and present the results obtained under the application of the model. Finally, a simulation exercise was developed to understand how the model reacts to its inputs.Frada, PedroBoons, MartijnRibeiro, PauloRUNAnacleto, CatarinaValadas, JoséFelder, Theresa2020-01-20T01:30:36Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/26199TID:201714060enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:13:47Zoai:run.unl.pt:10362/26199Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:28:27.304244Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Active portfolio management using the black-litterman model group project |
title |
Active portfolio management using the black-litterman model |
spellingShingle |
Active portfolio management using the black-litterman model Anacleto, Catarina Covariance Implied returns Views Confidence Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Active portfolio management using the black-litterman model |
title_full |
Active portfolio management using the black-litterman model |
title_fullStr |
Active portfolio management using the black-litterman model |
title_full_unstemmed |
Active portfolio management using the black-litterman model |
title_sort |
Active portfolio management using the black-litterman model |
author |
Anacleto, Catarina |
author_facet |
Anacleto, Catarina Valadas, José Felder, Theresa |
author_role |
author |
author2 |
Valadas, José Felder, Theresa |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Frada, Pedro Boons, Martijn Ribeiro, Paulo RUN |
dc.contributor.author.fl_str_mv |
Anacleto, Catarina Valadas, José Felder, Theresa |
dc.subject.por.fl_str_mv |
Covariance Implied returns Views Confidence Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Covariance Implied returns Views Confidence Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
In this project, we are studying the application of the Black-Litterman model for active portfolio management. We focus on three elements that are important for a real-world application of the model. First, we present a robust construction of the variance-covariance matrix that is used as input for the model. Second, we present a rigorous explanation of the model as it was presented initially by Black and Litterman, which is important to highlight the driving mechanisms inside the model. Third, we describe how to adjust the model to an application in an active setting, where the investor is evaluated relative to a benchmark. Empirical evidence for the active case is limited to date. Working with a range of benchmarks (relevant for various types of investors), we derive a portfolio that includes multiple asset classes and present the results obtained under the application of the model. Finally, a simulation exercise was developed to understand how the model reacts to its inputs. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-01-20 2017-01-20T00:00:00Z 2020-01-20T01:30:36Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/26199 TID:201714060 |
url |
http://hdl.handle.net/10362/26199 |
identifier_str_mv |
TID:201714060 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
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1799137910369288192 |