Portfolio optimisation with quantitative and qualitative views

Portfolio construction with quantitative and qualitative forecasts is described through the exposition of two asset allocation models. The two models arc the Black-Litterman Asset Allocation moodel and the Qualitative Forecasts : Model developed by Herold Ulf. The models are developed theoretically and made intuitively accessible with real market data examples. Methodology is developed using the two models to transport alpha across benchmarks.

Grantor dc:publisher.institution

Department of Statistical Sciences

Year dc:date.issued

2005

Author dc:creator

• Remsing, Razvan Alexandru

Advisor dc:contributor.advisor

• Maritz, Jaco

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/4356

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/4356