Global Portfolio Allocation
(2012) NEKP02 20121Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3046217
- author
- Raulamo, Heli LU
- supervisor
- organization
- alternative title
- Testing EGARCH-M derived views in the Black-Litterman model
- course
- NEKP02 20121
- year
- 2012
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Global Portfolio Allocation}}, year = {{2012}}, }