The Black-Litterman Model Applied on OMXS30
(2013) NEKN01 20131Department of Economics
- Abstract (Swedish)
- This thesis applies the Black-Litterman (BL) model on the stocks that makes up the Swedish stock index OMXS30 during the year of 2012. Public information in the form of stock recommendations from financial institutions has been used as views in the BL-framework. A method of estimating confidence in these views has been analyzed and further clarified. The testing consists of two BL-portfolios along with two Mean Variance-portfolios, allowing me to compare the performance difference that the BL-model has. The two portfolios differ in terms of short selling restrictions. Although the results show a difference in total returns in favor of the restricted BL-portfolio, no significant difference were found compared to the other portfolios or the... (More)
- This thesis applies the Black-Litterman (BL) model on the stocks that makes up the Swedish stock index OMXS30 during the year of 2012. Public information in the form of stock recommendations from financial institutions has been used as views in the BL-framework. A method of estimating confidence in these views has been analyzed and further clarified. The testing consists of two BL-portfolios along with two Mean Variance-portfolios, allowing me to compare the performance difference that the BL-model has. The two portfolios differ in terms of short selling restrictions. Although the results show a difference in total returns in favor of the restricted BL-portfolio, no significant difference were found compared to the other portfolios or the stock market index, both in terms of returns and in terms of Sharpe ratios. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3910568
- author
- Gertzell, Fredrik LU
- supervisor
-
- Lu Liu LU
- organization
- course
- NEKN01 20131
- year
- 2013
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Black-Litterman, portfolio optimization, omxs30
- language
- English
- id
- 3910568
- date added to LUP
- 2013-07-01 10:13:40
- date last changed
- 2013-07-01 10:13:40
@misc{3910568, abstract = {{This thesis applies the Black-Litterman (BL) model on the stocks that makes up the Swedish stock index OMXS30 during the year of 2012. Public information in the form of stock recommendations from financial institutions has been used as views in the BL-framework. A method of estimating confidence in these views has been analyzed and further clarified. The testing consists of two BL-portfolios along with two Mean Variance-portfolios, allowing me to compare the performance difference that the BL-model has. The two portfolios differ in terms of short selling restrictions. Although the results show a difference in total returns in favor of the restricted BL-portfolio, no significant difference were found compared to the other portfolios or the stock market index, both in terms of returns and in terms of Sharpe ratios.}}, author = {{Gertzell, Fredrik}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Black-Litterman Model Applied on OMXS30}}, year = {{2013}}, }