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

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 resear...

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Main Authors: Montalbo, Miguel Lorenzo K., Ramos, Edward Joseph A., Salon, Ysabel Francheska D., Tiu, Ethan Charles Y.
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Language:English
Published: Animo Repository 2016
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Online Access:https://animorepository.dlsu.edu.ph/etd_bachelors/9032
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Institution: De La Salle University
Language: English
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spelling oai:animorepository.dlsu.edu.ph:etd_bachelors-96772021-08-21T14:54:28Z A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle Montalbo, Miguel Lorenzo K. Ramos, Edward Joseph A. Salon, Ysabel Francheska D. Tiu, Ethan Charles Y. 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. 2016-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_bachelors/9032 Bachelor's Theses English Animo Repository Stock price forecasting Finance and Financial Management
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Stock price forecasting
Finance and Financial Management
spellingShingle Stock price forecasting
Finance and Financial Management
Montalbo, Miguel Lorenzo K.
Ramos, Edward Joseph A.
Salon, Ysabel Francheska D.
Tiu, Ethan Charles Y.
A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle
description 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.
format text
author Montalbo, Miguel Lorenzo K.
Ramos, Edward Joseph A.
Salon, Ysabel Francheska D.
Tiu, Ethan Charles Y.
author_facet Montalbo, Miguel Lorenzo K.
Ramos, Edward Joseph A.
Salon, Ysabel Francheska D.
Tiu, Ethan Charles Y.
author_sort Montalbo, Miguel Lorenzo K.
title A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle
title_short A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle
title_full A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle
title_fullStr A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle
title_full_unstemmed A study on asset portfolio optimization using Black-Litterman model as a framework with views based on Elliott wave principle
title_sort study on asset portfolio optimization using black-litterman model as a framework with views based on elliott wave principle
publisher Animo Repository
publishDate 2016
url https://animorepository.dlsu.edu.ph/etd_bachelors/9032
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