An investigation into the Black-Litterman model
Jørgensen, Martin Felix
This report describes a practical application approach to the Black-Litterman model,
which is developed on the basis of CAPM and modern portfolio-theory. The model
allows investors to implement subjective socalled “views” or opinions on one or several
assets/asset classes. Hence, the model is an asset-allocation model, developed in order to
get closer to an optimal mathematical allocation-model, that supports investors to better
manage investment portfolios. Of particular financial interest is model uncertainties
and the influence of central variables on the final results. All figures or tables without
external references are the author’s own. This report is additionally filed as concluding
15 ECTS point project (thesis) for the Graduate Diploma in Business Administration in
Finance at CBS.
↧