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Collections :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Επιστημών και Τεχνολογίας της Πληροφορίας / School of Informatics Τμήμα Στατιστικής / Department of Statistics Μεταπτυχιακές Εργασίες / Postgraduate dissertations

Title :	Black litterman model asset allocation under elliptical distributions

Creator :	Kiliakoudis, Petros

Contributor :	Athens University of Economics and Business, Department of Statistics (Degree granting institution)

Type :	Text

Extent :	123 p.

Language :	el

Abstract :	During the current crisis, it is crucial for every investor to increase hisknowledge in the field of financial engineering. In this thesis, every step ofthe evolution of the modern portfolio theory is presented. In the beginning,Markowitz’s model is presented in order to establish the foundation of thisanalysis. Furthermore, the Capital Asset Pricing Model and the ArbitragePricing Theory are presented. Moreover, the theory of the elliptical family ofdistributions is explained. Afterwards, Black Litterman model is presented indetail. In addition, the three alternatives of this model are demonstrated.These alternatives are Idzorek’s (2004), He & Litterman’s (1999) and Xiao &Valdez’s (2010). The main purpose of this thesis is to compare these models.Finaly, three asset allocation methods are presented and applied at the outputsof the previously mentioned models. These asset allocation methods are theMean Variance, the Mean Value at Risk and the Conditional Value at Risk.

Abstract :

During the current crisis, it is crucial for every investor to increase hisknowledge in the field of financial engineering. In this thesis, every step ofthe evolution of the modern portfolio theory is presented. In the beginning,Markowitz’s model is presented in order to establish the foundation of thisanalysis. Furthermore, the Capital Asset Pricing Model and the ArbitragePricing Theory are presented. Moreover, the theory of the elliptical family ofdistributions is explained. Afterwards, Black Litterman model is presented indetail. In addition, the three alternatives of this model are demonstrated.These alternatives are Idzorek’s (2004), He & Litterman’s (1999) and Xiao &Valdez’s (2010). The main purpose of this thesis is to compare these models.Finaly, three asset allocation methods are presented and applied at the outputsof the previously mentioned models. These asset allocation methods are theMean Variance, the Mean Value at Risk and the Conditional Value at Risk.

Subject :	Financial engineering Black-Litterman Model Markowitz model

Date Issued :	21-07-2016

Licence :

File: Kyliakoudis_2016.pdf

Type: application/pdf

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