Tawakol, Marcello (A.A. 2021/2022) Modern stock portfolio theory: comparing the Markowitz model and the Black and Litterman model. Tesi di Laurea in Advanced corporate finance, Luiss Guido Carli, relatore Pierluigi Murro, pp. 87. [Master's Degree Thesis]

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Abstract/Index

The Markowitz mean-variance theory. Theoretical foundations of the Markowitz model. Main applications of the Markowitz model. Extensions and limits of the Markowitz model. Theoretical aspects of the Black and Litterman model and the Treynor and Black model. Overcoming the theoretical limits of Markowitz's theory. The Treynor and Black model. The Black and Litterman model. Empirical analysis of portfolios constructed with different theoretical models. Efficient frontier with the Markowitz model. Portfolio diagnosis obtained with the Markowitz theory. The construction of the optimal portfolio with the Black & Litterman model.

References

Bibliografia: pp. 85-87.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Management, English language (LM-77)
Chair:	Advanced corporate finance
Thesis Supervisor:	Murro, Pierluigi
Thesis Co-Supervisor:	Santella, Rosella
Academic Year:	2021/2022
Session:	Autumn
Deposited by:	Alessandro Perfetti
Date Deposited:	07 Mar 2023 09:14
Last Modified:	07 Mar 2023 09:14
URI:	https://tesi.luiss.it/id/eprint/35282

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