Название: The Black-Litterman Model
Автор: Charlotta Mankert
Издательство: Stockholm, Sweden
Размер: 5.41 Mb
Язык текста: Английский
The financial portfolio model often referred to as the Black-Litterman model is
analyzed using two approaches; a mathematical and a behavioral finance approach.
After a detailed description of its framework, the Black-Litterman model is derived
mathematically using a sampling theoretical approach. This approach generates a new interpretation of the model and gives an interpretable formula for the mystical
parameter €, the weight-on-views. Secondly, implications are drawn from research
results within behavioral finance. One of the most interesting features of the Black-
Litterman model is that the benchmark portfolio, against which the performance of the portfolio manager is evaluated, functions as the point of reference.