An investigation into the Black-Litterman model

Martin Felix Jørgensen

Student thesis: Diploma thesis

Abstract

This report describes a practical application approach to the Black-Litterman model, which is developed on the basis of CAPM and modern portfolio-theory. The model allows investors to implement subjective socalled “views” or opinions on one or several assets/asset classes. Hence, the model is an asset-allocation model, developed in order to get closer to an optimal mathematical allocation-model, that supports investors to better manage investment portfolios. Of particular financial interest is model uncertainties and the influence of central variables on the final results. All figures or tables without external references are the author’s own. This report is additionally filed as concluding 15 ECTS point project (thesis) for the Graduate Diploma in Business Administration in Finance at CBS.

EducationsGraduate Diploma in Finance, (Diploma Programme) Final Thesis
LanguageEnglish
Publication date2016
Number of pages83