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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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 |
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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 |
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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. |
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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 |
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Animo Repository |
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2016 |
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https://animorepository.dlsu.edu.ph/etd_bachelors/9032 |
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