Robust Methods of Portfolio Optimization - Comparative Performance on the Russian Market

Comparative study of two models of portfolio optimization: Brandt and Santa-Clara, Black-Litterman. Objective function and statistical inference in the Brandt and Santa-Clara model. The market equilibrium and investor’s views in the Black-Litterman model.

Рубрика Экономика и экономическая теория
Вид дипломная работа
Язык английский
Дата добавления 11.11.2015
Размер файла 847,6 K

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