Black litterman for non normal markets: focus on view's confidence level and performance
Menchi, Mattia (A.A. 2015/2016) Black litterman for non normal markets: focus on view's confidence level and performance. Tesi di Laurea in Econometric theory, LUISS Guido Carli, relatore Giuseppe Ragusa, pp. 75. [Master's Degree Thesis]
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Abstract/Index
Portfolio theory. Black litterman model. Brief comparison: black litterman vs Markowitz. Living in a skewed and leptokurtic world. Monte Carlo simulation adjusted for EVT. Model at work. Relative indicator and further moments.
References
Bibliografia: pp. 60-62. Sitografia: p. 63.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Ragusa, Giuseppe |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2015/2016 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 31 Mar 2017 07:34 |
| Last Modified: | 11 Dec 2017 13:25 |
| URI: | https://tesi.luiss.it/id/eprint/18574 |
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