Alternative distributions in the Black-Litterman model of asset allocation

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorMbofana, Stewarten_ZA
dc.date.accessioned2015-07-14T08:44:07Z
dc.date.available2015-07-14T08:44:07Z
dc.date.issued2011en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractIn this thesis we replace the normal distribution assumption in the calculation of the prior equilibrium returns used in the model with a more general distribution which captures the skewness and fat tails exhibited by stock data. We consider the á stable distributions as an alternative distribution to the normal distribution. Consequently we also consider alternative measures of risk, the Value at Risk and the Conditional Value at Risk other than the variance used in the normal case.en_ZA
dc.identifier.apacitationMbofana, S. (2011). <i>Alternative distributions in the Black-Litterman model of asset allocation</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/13426en_ZA
dc.identifier.chicagocitationMbofana, Stewart. <i>"Alternative distributions in the Black-Litterman model of asset allocation."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011. http://hdl.handle.net/11427/13426en_ZA
dc.identifier.citationMbofana, S. 2011. Alternative distributions in the Black-Litterman model of asset allocation. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Mbofana, Stewart AB - In this thesis we replace the normal distribution assumption in the calculation of the prior equilibrium returns used in the model with a more general distribution which captures the skewness and fat tails exhibited by stock data. We consider the á stable distributions as an alternative distribution to the normal distribution. Consequently we also consider alternative measures of risk, the Value at Risk and the Conditional Value at Risk other than the variance used in the normal case. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Alternative distributions in the Black-Litterman model of asset allocation TI - Alternative distributions in the Black-Litterman model of asset allocation UR - http://hdl.handle.net/11427/13426 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/13426
dc.identifier.vancouvercitationMbofana S. Alternative distributions in the Black-Litterman model of asset allocation. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/13426en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleAlternative distributions in the Black-Litterman model of asset allocationen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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