Utilização do modelo de Black-Litterman para gestão de hedge funds do Brasil
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Data
2010-05-26
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Lowenkron, Alexandre
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Resumo
The Black-Litterman model calculates the expected market returns as a combination of a set of investor views and a neutral reference point. The model uses Bayesian approach to blend both sources of information. The results from the Black-Litterman model, in contrast to the traditional approach, are quite intuitive, stable and consistent with the investors views. The purpose of this thesis is to provide a detailed analysis of each component of the Black-Litterman model and verify if the use of the Black-Litterman model, introducing the views of the market based on the Central Bank report, FOCUS, outperforms brasilians Hegde Funds.