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.
|Work type:|| Doctoral
|Awards and prizes:|
|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