Vis enkel innførsel

dc.contributor.authorKjoberg, Marius
dc.contributor.authorThorsen, Christian
dc.date.accessioned2017-05-23T09:20:59Z
dc.date.available2017-05-23T09:20:59Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/11250/2443257
dc.descriptionMasteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2016nb_NO
dc.description.abstractIn this thesis we apply the Black-Litterman model on the Norwegian stock market using historical price data in the period of 2004 to 2015. A wide collection of analyst recommendations was used to determine views to feed into the model. We provide a theoretical framework of the model, and discuss the implications of some of the approaches in the literature. To best understand the functioning of the model, we compare it to several mean-variance models and pure benchmark portfolios by evaluating them based on five criteria. They asses return, both risk adjusted and not, transaction cost and predictability. With equal weights on all criteria, the Black-Litterman portfolios perform mediocre despite a positive contribution from the views. Regardless of its ranking among comparable portfolios, the model behaves intuitively and is undoubtedly an upgrade to Markowitz traditional method.nb_NO
dc.language.isoengnb_NO
dc.publisherBI Norwegian Business Schoolnb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.subjectfinancial economicsnb_NO
dc.titleThe Black-Litterman Model : An Application on the Norwegian Stock Marketnb_NO
dc.typeMaster thesisnb_NO


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel