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The Black-Litterman Model Applied on OMXS30

Gertzell, Fredrik LU (2013) NEKN01 20131
Department 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:
author
Gertzell, Fredrik LU
supervisor
organization
course
NEKN01 20131
year
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},
  keyword      = {Black-Litterman,portfolio optimization,omxs30},
  language     = {eng},
  note         = {Student Paper},
  title        = {The Black-Litterman Model Applied on OMXS30},
  year         = {2013},
}