1 / 4

Black Litterman Model Results

Black Litterman Model Results. Market Portfolio = SPY return - RF Portfolio of 5 stocks chosen : Amazon Target Patterson IBM Ebay. Views : delta = 1 Expected market return :3% B-L weights obtained: 0.84475 (SPY) 0.15525 (5 stocks).

callum-rodriquez
Télécharger la présentation

Black Litterman Model Results

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Black Litterman Model Results Market Portfolio = SPY return - RF Portfolio of 5 stocks chosen : Amazon Target Patterson IBM Ebay

  2. Views : delta = 1 Expected market return :3% • B-L weights obtained: 0.84475 (SPY) 0.15525 (5 stocks)

  3. Summary statistics, using the observations 2008:01 - 2011:12 Mean Median Minimum Maximum MPORTret -5.1458e-006 0.0043355 -0.16599 0.10915 APORTret 0.0085326 0.016737 -0.21784 0.15141 Port1 -0.025048 -0.015994 -0.37023 0.26717 Portb 0.00028901 0.0051012 -0.16777 0.10775 Porta2 0.00132030.0051703 -0.17404 0.10734 Porta2xM 0.0013255 0.0020232 -0.017841 0.013903 Porta2xb 0.0010313 0.0015742 -0.013882 0.010818 Std. Dev. C.V. Skewness Ex. kurtosis MPORTret 0.059501 11563. -0.42280 -0.096541 APORTret 0.069368 8.1298 -0.90111 2.0755 Port1 0.13494 5.3873 -0.12369 0.086784 Portb 0.059423 205.60 -0.43565 -0.039250 Porta2 0.059402 44.990 -0.48677 0.19703 Porta2xM 0.0061998 4.6774 -0.40325 0.47156 Porta2xb 0.0048239 4.6774 -0.40325 0.47156

More Related