Black-Litterman portfolio optimization model
delo diplomskega seminarja
Abstract
Black-Litterman portfolio optimization model
Keywords
Black-Litterman model;mean-variance optimization;multivariate normal distribution;Bayes' rule;
Data
| Language: | English |
|---|---|
| Year of publishing: | 2010 |
| Typology: | 2.11 - Undergraduate Thesis |
| Organization: | UL FMF - Faculty of Mathematics and Physics |
| Publisher: | [J. Gogala] |
| UDC: | 519.2 |
| COBISS: |
15855193
|
| Views: | 768 |
| Downloads: | 180 |
| Average score: | 0 (0 votes) |
| Metadata: |
|
Other data
| Secondary language: | Slovenian |
|---|---|
| Secondary keywords: | Black-Littermanov model;optimizacija;multivariantna normalna porazdelitev;Baysovo pravilo; |
| Type (COBISS): | Final seminar paper |
| Thesis comment: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja |
| Pages: | 24 str. |
| ID: | 10935010 |
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