Detail práce

My ventures are not in one bottom trusted Comparative study to Modern Portfolio Theory and Black-Litterman portfolio formation.

Autor: Mgr. Klega Daniel
Rok: 2013 - letní
Vedoucí: PhDr. Petr Gapko Ph.D.
Konzultant:
Typ práce: Rigorózní
Jazyk: Anglicky
Stránky: 119
Ocenění:
Odkaz:
Abstrakt: This work uses Lagrange multiplier solution to Modern Portfolio Theory and Monte-­‐Carlo simulation to explain large variations in Mean Varianceoptimized portfolios. Author also summarized main criticism of Modern Portfolio Theory and suggested a better solution of using Black-­‐Litterman framework. Practical part of the thesis revealed a high significance of expected variance-­‐covariance matrix
for portfolio weights. Author compared unintuitive and sensitive weights of Mean Variance optimization to Black-­‐Litterman portfolios based on implied returns and analysts’ predictions. Essay gave an example of insensitivity of Black-­‐Litterman portfolios to expected
covariance and by using Monte Carlo simulation presented superiority of Black-­‐Litterman to Markowitz’s
optimization.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance