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Alternative distributions in the Black-Litterman model of asset allocation
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
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| _version_ | 1867613289176891392 |
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| access_status_str | Open Access |
| author | Mbofana, Stewart |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Mbofana, Stewart |
| author_facet | Becker, Ronald Mbofana, Stewart |
| author_sort | Mbofana, Stewart |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/13426 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:45.686Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/13426 Alternative distributions in the Black-Litterman model of asset allocation Mbofana, Stewart Becker, Ronald Mathematical Finance Includes bibliographical references. In this thesis we replace the normal distribution assumption in the calculation of the prior equilibrium returns used in the model with a more general distribution which captures the skewness and fat tails exhibited by stock data. We consider the á stable distributions as an alternative distribution to the normal distribution. Consequently we also consider alternative measures of risk, the Value at Risk and the Conditional Value at Risk other than the variance used in the normal case. 2015-07-14T08:44:07Z 2015-07-14T08:44:07Z 2011 Master Thesis Masters MPhil http://hdl.handle.net/11427/13426 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Mbofana, Stewart Alternative distributions in the Black-Litterman model of asset allocation |
| thesis_degree_str | Master's |
| title | Alternative distributions in the Black-Litterman model of asset allocation |
| title_full | Alternative distributions in the Black-Litterman model of asset allocation |
| title_fullStr | Alternative distributions in the Black-Litterman model of asset allocation |
| title_full_unstemmed | Alternative distributions in the Black-Litterman model of asset allocation |
| title_short | Alternative distributions in the Black-Litterman model of asset allocation |
| title_sort | alternative distributions in the black litterman model of asset allocation |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/13426 |
| work_keys_str_mv | AT mbofanastewart alternativedistributionsintheblacklittermanmodelofassetallocation |