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Automated Advisory Services. An investigation of Efficiency on Using the Black-Litterman Model

  • This thesis seeks to investigate efficiency of current portfolio theory, using the Black-Litterman Model, for creating portfolio recommendations as offered by Automated Advisory Services. These services have recently appeared, offering wealth management through a digital store front. As the human component has been removed from the equation, algorithms based on portfolio theory provide portfolio recommendations upon profiling the user of such services. Tests on parameters of the Black-Litterman Model will be run between September 2007 and December 2009, the financial crisis. The aim is to understand how efficient the parameters are able to steer the model to reflect the investor preferences, and how Black Litterman portfolios would have performed during turbulent economic times to test the efficiency claim by providers of automated advisory services.

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Author:Sebastian Seck
Advisor:Uwe Hack
Document Type:Bachelor Thesis
Year of Completion:2016
Granting Institution:Hochschule Furtwangen
Release Date:2016/04/15
Tag:Black-Litterman Model; Portfolio Theory; Robo-Advisor; algorithm-based portfolio construction
Degree Program:IBM - International Business Management
Licence (German):License LogoUrheberrechtlich gesch├╝tzt