Model Black-Litterman in optimizacija donosa portfelja

delo diplomskega seminarja

Tim Resnik (Author), Tomaž Košir (Mentor)

Abstract

V delu so najprej predstavljene osnove portfeljske teorije, kamor sodijo pojmi kot so vektor donosa, tržni portfelj, učinkovita meja, itd. Brez izpeljav je povzet CAPM model, na katerega se močno navezuje celoten model Black-Litterman. Na podlagi Markowitzevega problema alokacije sredstev, privatnih informacij in tržnega ravnovesja je vpeljan tradicionalen Black-Litterman model. Delo se nadaljuje s predstavo Black-Litterman modela v novi luči s pomočjo inverzne optimizacije. Naveden je tudi pomemben primer za preizkuševanje na koncu naloge, imenovan PV-IO. Inverzno optimizacijo modela se nadgradi in obenem poveča njeno uporabnost z vpeljavo drugačnih mer tveganja (npr.Var in CVaR). Podan je pomemben primer za testiranje, imenovan RPV-IO. V zadnjem delu naloge se novo vpeljane optimizacijske probleme in pripadajoče portfelje preizkusi najprej na simulacijah, nato pa še na zgodovinskih podatkih. V zaključku so podana mnenja o prednostih in slabostih novih modelov ter možnih nadaljnjih poteh raziskovanja.

Keywords

portfeljska teorija;model Black-Litterman;inverzna optimizacija;mere tveganja;

Data

Language:	Slovenian
Year of publishing:	2020
Typology:	2.11 - Undergraduate Thesis
Organization:	UL FMF - Faculty of Mathematics and Physics
Publisher:	[T. Resnik]
UDC:	519.8
COBISS:	58161411
Views:	1475
Downloads:	277
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Black-Litterman model and portfolio return optimization
Secondary abstract:	The basics of the portfolio theory are presented in the beginning of the diploma, where the main concepts include vector of mean asset returns, market portfolio, efficient frontier, etc. Then, the CAPM model is presented because of the close relationship between it and the Black-Litterman model. Based on the Markowitz portfolio allocation problem, private informations and market equilibrium, the traditional Black-Litterman model is introduced. The paper continues with the reinterpretation of the Black-Litterman model with the help of the inverse optimization. At the end of the section, an important example in the form of PV-IO is presented. The general applicability of the model is broadened through alternative measures of risk (e.g. VaR and CVaR). An important example is again provided, this time in the form of RPV-IO. The last part of the diploma is concerned with testing the newly introduced optimization problems through simulations, and later on through backtesting. The main advantages and disadvantages are highlighted in the conclusion of the paper, along with propositions for further research.
Secondary keywords:	portfolio theory;Black-Litterman model;inverse optimization;risk measures;
Type (COBISS):	Final seminar paper
Study programme:	0
Embargo end date (OpenAIRE):	1970-01-01
Thesis comment:	Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 1. stopnja
Pages:	34 str.
ID:	11905771