Insurance companies{u2019} portfolio allocation in non-normal markets using 2black-litterman model3 /
Nancy Gaber Aldeeb
Insurance companies portfolio allocation in non-normal markets using 2black-litterman model3 / 2 Black-Litterman" توزيع محفظة الأوراق المالية بشركات التأمين فى الأسواق غير المنتظمة باستخدام نموذج Nancy Gaber Aldeeb ; Supervised Ali Elsayed Eldeeb - Cairo : Nancy Gaber Aldeeb , 2021 - 151 Leaves : facsimiles ; 30cm
Thesis (M.Sc.) - Cairo University - Faculty of Commerce - Department of Mathematics and Insurance
The Black-Litterman model is proposing that used expected returns in its optimization will diverge from equilibrium risk premiums in accordance with the investment manager's explicitly specified views.The Black-Litterman Asset Allocation Model is designed to provide a framework to combine investor views with market equilibrium, it proposed to modify the whole mean vector to reflect an investment manager views, Black-Litterman Asset Allocation Model is a sophisticated portfolio structure model to overcome the unintuitive problem and the highly concentrated portfolios problem. In this thesis, the researcher applied Black-Litterman model to enhance the portfolio allocation efficiency and increase the overall profitability of investment portfolio.The aim of the thesis will be to produce well-performed portfolios without requiring the investment manager to conduct expected excess returns complete set to be used as basis for portfolio allocation by incorporating a global equilibrium with an investment manager's views.The results from black litterman model were compared to the official market weighted portfolio of EGX100 Index. The Black-Litterman portfolio much outperformed the benchmark portfolio in the two proposed tests. The result is considered positive
Black-litterman model Insurance companies portfolio Non-normal markets
Insurance companies portfolio allocation in non-normal markets using 2black-litterman model3 / 2 Black-Litterman" توزيع محفظة الأوراق المالية بشركات التأمين فى الأسواق غير المنتظمة باستخدام نموذج Nancy Gaber Aldeeb ; Supervised Ali Elsayed Eldeeb - Cairo : Nancy Gaber Aldeeb , 2021 - 151 Leaves : facsimiles ; 30cm
Thesis (M.Sc.) - Cairo University - Faculty of Commerce - Department of Mathematics and Insurance
The Black-Litterman model is proposing that used expected returns in its optimization will diverge from equilibrium risk premiums in accordance with the investment manager's explicitly specified views.The Black-Litterman Asset Allocation Model is designed to provide a framework to combine investor views with market equilibrium, it proposed to modify the whole mean vector to reflect an investment manager views, Black-Litterman Asset Allocation Model is a sophisticated portfolio structure model to overcome the unintuitive problem and the highly concentrated portfolios problem. In this thesis, the researcher applied Black-Litterman model to enhance the portfolio allocation efficiency and increase the overall profitability of investment portfolio.The aim of the thesis will be to produce well-performed portfolios without requiring the investment manager to conduct expected excess returns complete set to be used as basis for portfolio allocation by incorporating a global equilibrium with an investment manager's views.The results from black litterman model were compared to the official market weighted portfolio of EGX100 Index. The Black-Litterman portfolio much outperformed the benchmark portfolio in the two proposed tests. The result is considered positive
Black-litterman model Insurance companies portfolio Non-normal markets