Search for dissertations about: "black-litterman model"
Found 3 swedish dissertations containing the words black-litterman model.
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1. The Black-Litterman Model : mathematical and behavioral finance approaches towards its use in practice
Abstract : 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. READ MORE
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2. The Black-Litterman Model : Towards its use in practice
Abstract : 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. READ MORE
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3. Copula-based Portfolio Optimization
Abstract : 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. READ MORE