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Black Litterman Model Results

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Presentation on theme: "Black Litterman Model Results"— 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:
(SPY) (5 stocks) w1 (2 x 1)

3 Summary statistics, using the observations 2008:01 - 2011:12
Mean Median Minimum Maximum MPORTret e APORTret Port Portb Porta Porta2xM Porta2xb Std. Dev C.V Skewness Ex. kurtosis MPORTret APORTret Port Portb Porta Porta2xM Porta2xb

4

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