The Black-Litterman model is a method to construct a well-diversified portfolio of financial assets consistently with manager’s views, in the attempt to outperform the market. In the context of mean-variance analysis as well as efficient market hypothesis, both portfolio diversification techniques and economic outlooks lead the development of different ways to approach financial markets for investment purposes. This thesis aims to show the rationale of the Black-Litterman model and how it may be employed to run a strategic asset allocation, in accordance with some fundamental measures to value stock prices. In other words how it can exploit the Dividend Discount Model to invest in the stock market for the middle-long term.
The Black-Litterman model: an application for strategic asset allocation
Buoso, Edoardo
2018/2019
Abstract
The Black-Litterman model is a method to construct a well-diversified portfolio of financial assets consistently with manager’s views, in the attempt to outperform the market. In the context of mean-variance analysis as well as efficient market hypothesis, both portfolio diversification techniques and economic outlooks lead the development of different ways to approach financial markets for investment purposes. This thesis aims to show the rationale of the Black-Litterman model and how it may be employed to run a strategic asset allocation, in accordance with some fundamental measures to value stock prices. In other words how it can exploit the Dividend Discount Model to invest in the stock market for the middle-long term.File | Dimensione | Formato | |
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https://hdl.handle.net/20.500.14247/22407