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Monte Carlo simulations on the Black-Litterman model with absolute views: a comparison with the Markowitz model and an equal weight asset allocation strategy
dc.contributor | Suárez-Lledó, José |
dc.contributor | Torra Porras, Salvador |
dc.contributor.author | Fernández Pibrall, Eric |
dc.contributor.other | Universitat de Barcelona. Departament d'Econometria, Estadística i Economia Espanyola |
dc.date.accessioned | 2015-11-12T11:51:59Z |
dc.date.issued | 2015 |
dc.identifier.uri | http://hdl.handle.net/2117/79109 |
dc.description.abstract | The focus of this degree thesis is on the Black-Litterman asset allocation model applied to recent popular investment vehicles such as Exchange Traded Funds (ETFs) simulating absolute views generated by Monte Carlo simulations that allow the inclusion of correlations. The sensibility of the scalar (which is a measure of the investor’s confidence in the prior estimates) contained in the Black-Litterman model will be analyzed over several periods of time and the results obtained compared with the Markowitz model developed by Harry Markowitz and an equal weight asset allocation strategy in order to determine the performance of the model. The results obtained determine that the Markowitz model and the equal weight asset allocation strategy can be beaten by the Black-Litterman model using investors’ views that incorporate information no include in the historical data and using the correct value of and the adequate time period of data. |
dc.language.iso | eng |
dc.publisher | Universitat Politècnica de Catalunya |
dc.publisher | Universitat de Barcelona |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística |
dc.subject.lcsh | Mathematical Statistiscs -- Applications |
dc.subject.other | Gestió de cartera |
dc.subject.other | Mètode de Montecarlo |
dc.subject.other | Borsa de valors |
dc.subject.other | Estadística |
dc.subject.other | Monte Carlo method |
dc.subject.other | Portfolio management |
dc.subject.other | Stock-exchange |
dc.title | Monte Carlo simulations on the Black-Litterman model with absolute views: a comparison with the Markowitz model and an equal weight asset allocation strategy |
dc.type | Bachelor thesis |
dc.subject.lemac | Estadística Matemàtica -- Aplicacions |
dc.subject.ams | 62Statistics |
dc.rights.access | Restricted access - author's decision |
dc.date.lift | 10000-01-01 |
dc.audience.educationlevel | Estudis de primer/segon cicle |
dc.audience.mediator | Universitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística |
dc.audience.degree | GRAU EN ESTADÍSTICA (Pla 2009) |