Διαχείριση χαρτοφυλακίου με το μοντέλο Black-Litterman

Τζουβάρας, Ελευθέριος

Portfolio management with Black-Litterman model

Master Thesis

Author

Τζουβάρας, Ελευθέριος

Date

2013-06

Abstract

The objective of this research is to highlight a relatively new method of portfolio management, also known as Black - Litterman. It is applied in practice in order to be assessed. It is, originally, presented a short overview of portfolio theory. Then, we present the Garch models. The next chapter develops a detailed description of Black-Litterman model, as researchers have proposed this theory and the mathematical background behind it. The model is applied to real data, it is used as a benchmark, the Bel 20, which is the index of large capitalization stock of Brussels, and five mutual funds that follow it. It is then compared with the results of the modulated portfolio, using three indicators: Sharpe Ratio, Treynor Ratio and Jensen Alpha. The results are excellent for the portfolio.

Postgraduate Studies Programme

Εφαρμοσμένη Στατιστική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/8442

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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