20.500.12556/RUL-117587 Model Black-Litterman in optimizacija donosa portfelja delo diplomskega seminarja Black-Litterman model and portfolio return optimization V delu so najprej predstavljene osnove portfeljske teorije, kamor sodijo pojmi kot so vektor donosa, tržni portfelj, učinkovita meja, itd. Brez izpeljav je povzet CAPM model, na katerega se močno navezuje celoten model Black-Litterman. Na podlagi Markowitzevega problema alokacije sredstev, privatnih informacij in tržnega ravnovesja je vpeljan tradicionalen Black-Litterman model. Delo se nadaljuje s predstavo Black-Litterman modela v novi luči s pomočjo inverzne optimizacije. Naveden je tudi pomemben primer za preizkuševanje na koncu naloge, imenovan PV-IO. Inverzno optimizacijo modela se nadgradi in obenem poveča njeno uporabnost z vpeljavo drugačnih mer tveganja (npr.Var in CVaR). Podan je pomemben primer za testiranje, imenovan RPV-IO. V zadnjem delu naloge se novo vpeljane optimizacijske probleme in pripadajoče portfelje preizkusi najprej na simulacijah, nato pa še na zgodovinskih podatkih. V zaključku so podana mnenja o prednostih in slabostih novih modelov ter možnih nadaljnjih poteh raziskovanja. The basics of the portfolio theory are presented in the beginning of the diploma, where the main concepts include vector of mean asset returns, market portfolio, efficient frontier, etc. Then, the CAPM model is presented because of the close relationship between it and the Black-Litterman model. Based on the Markowitz portfolio allocation problem, private informations and market equilibrium, the traditional Black-Litterman model is introduced. The paper continues with the reinterpretation of the Black-Litterman model with the help of the inverse optimization. At the end of the section, an important example in the form of PV-IO is presented. The general applicability of the model is broadened through alternative measures of risk (e.g. VaR and CVaR). An important example is again provided, this time in the form of RPV-IO. The last part of the diploma is concerned with testing the newly introduced optimization problems through simulations, and later on through backtesting. The main advantages and disadvantages are highlighted in the conclusion of the paper, along with propositions for further research. portfeljska teorija model Black-Litterman inverzna optimizacija mere tveganja portfolio theory Black-Litterman model inverse optimization risk measures true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2020-07-17 08:15:03 2020-07-17 08:15:07 2024-05-30 10:06:54 0000-00-00 00:00:00 2020 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 106602 58161411 1235.pdf 1235.pdf 1 F3921A765510E0BFB4BA8D62177D1897 e79d131285fc9712367cbded7b3772f62badb44b2f3f81713db8a5483addde6a 36e1b280-a1b9-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=131467 1236.pdf 1236.pdf 1 30F4266A6CF3334E0D2CBF0D688C74E3 0b830813c3abe4bde13129c554f81c353c4e4c43c0d25277f505224d05e4e510 36f24c51-a1b9-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=131468 Fakulteta za matematiko in fiziko 0 0 0