Work detail

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

Author: Mgr. Klega Daniel
Year: 2013 - summer
Leaders: PhDr. Petr Gapko Ph.D.
Consultants:
Work type: Doctoral
Language: English
Pages: 119
Awards and prizes:
Link:
Abstract: 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.

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