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Black Litterman Model Results

Black Litterman Model Results. Market Portfolio = SPY return - RF Portfolio of 5 stocks chosen : Amazon Target Patterson IBM Ebay. Views : delta = 1 Expected market return :3% B-L weights obtained: 0.84475 (SPY) 0.15525 (5 stocks).

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Black Litterman Model Results

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  1. Black Litterman Model Results Market Portfolio = SPY return - RF Portfolio of 5 stocks chosen : Amazon Target Patterson IBM Ebay

  2. Views : delta = 1 Expected market return :3% • B-L weights obtained: 0.84475 (SPY) 0.15525 (5 stocks)

  3. Summary statistics, using the observations 2008:01 - 2011:12 Mean Median Minimum Maximum MPORTret -5.1458e-006 0.0043355 -0.16599 0.10915 APORTret 0.0085326 0.016737 -0.21784 0.15141 Port1 -0.025048 -0.015994 -0.37023 0.26717 Portb 0.00028901 0.0051012 -0.16777 0.10775 Porta2 0.00132030.0051703 -0.17404 0.10734 Porta2xM 0.0013255 0.0020232 -0.017841 0.013903 Porta2xb 0.0010313 0.0015742 -0.013882 0.010818 Std. Dev. C.V. Skewness Ex. kurtosis MPORTret 0.059501 11563. -0.42280 -0.096541 APORTret 0.069368 8.1298 -0.90111 2.0755 Port1 0.13494 5.3873 -0.12369 0.086784 Portb 0.059423 205.60 -0.43565 -0.039250 Porta2 0.059402 44.990 -0.48677 0.19703 Porta2xM 0.0061998 4.6774 -0.40325 0.47156 Porta2xb 0.0048239 4.6774 -0.40325 0.47156

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