A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle

• Main Authors: Montalbo, Miguel Lorenzo K., Ramos, Edward Joseph A., Salon, Ysabel Francheska D., Tiu, Ethan Charles Y.
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Stock price forecasting; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/9032
• Institution: De La Salle University

Beating the market has always been the goal of investors, using multiple tools and techniques to help them reach their purpose. This thesis aims to shine a light on the effectiveness of the Black-Litterman asset allocation model when infused with views based on the Elliott wave principle. The researchers would like to prove that the Black-Litterman asset allocation model can be effective when used with the market views of Robert Prechter who is renowned for using Elliott wave principle in forecasting. This will be done by generating portfolios using the Black-Litterman model with views based on Elliott wave principle in comparison with the market's benchmark returns and the mean-variance model. We expect this approach to provide significantly better returns as to following the benchmark returns of the index or as compared to the mean-bariance asset allocation model.