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Global Portfolio Allocation

Raulamo, Heli LU (2012) NEKP02 20121
Department of Economics
Abstract
A large number of studies have been done on the Black-Litterman method of portfolio optimization and several extensions have been introduced. The purpose of this paper is to determine whether EGARCH-M derived forecasts as proxies for the investor views in the Black-Litterman model produce superior portfolio returns in a global setting. The results show that even during a very volatile period in the global financial markets, the EGARCH inputs are able to predict high risk investment periods and attest to the great potential of the Black-Litterman approach.
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author
Raulamo, Heli LU
supervisor
organization
alternative title
Testing EGARCH-M derived views in the Black-Litterman model
course
NEKP02 20121
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Mean Variance, Black-Litterman, EGARCH-M, Portfolio allocation
language
English
id
3046217
date added to LUP
2012-09-11 10:53:08
date last changed
2012-09-11 10:53:08
@misc{3046217,
  abstract     = {A large number of studies have been done on the Black-Litterman method of portfolio optimization and several extensions have been introduced. The purpose of this paper is to determine whether EGARCH-M derived forecasts as proxies for the investor views in the Black-Litterman model produce superior portfolio returns in a global setting. The results show that even during a very volatile period in the global financial markets, the EGARCH inputs are able to predict high risk investment periods and attest to the great potential of the Black-Litterman approach.},
  author       = {Raulamo, Heli},
  keyword      = {Mean Variance,Black-Litterman,EGARCH-M,Portfolio allocation},
  language     = {eng},
  note         = {Student Paper},
  title        = {Global Portfolio Allocation},
  year         = {2012},
}