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

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Tomas Tiu

Defense Panel Member

Alddon Christner Ang

Abstract/Summary

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.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU19495

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

103, 3 leaves : illustrations ; 29 cm. + 1 computer disc ; 4 3/4 in.

Keywords

Stock price forecasting

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