de Montigny, Denis;
(2020)
Bayesian Networks for Asset Management and Financial Risk.
Doctoral thesis (Ph.D), UCL (University College London).
Preview |
Text
deMontigny2020a.pdf Download (11MB) | Preview |
Abstract
This thesis explores the use of Bayesian networks to develop “views” for a Black-Litterman asset allocation model, and determines whether they can help in the creation of better investment portfolios. Views represent an investor’s expectations of the future performance of a company’s shares: an estimate of expected return, and a measure of the uncertainty of this estimate. This thesis aims to automate the creation of views and to pioneer intelligent portfolio construction as part of an algorithmic asset management process.
| Type: | Thesis (Doctoral) |
|---|---|
| Qualification: | Ph.D |
| Title: | Bayesian Networks for Asset Management and Financial Risk |
| Event: | UCL (University College London) |
| Open access status: | An open access version is available from UCL Discovery |
| Language: | English |
| Additional information: | Copyright © The Author 2020. Original content in this thesis is licensed under the terms of the Creative Commons Attribution 4.0 International (CC BY 4.0) Licence (https://creativecommons.org/licenses/by/4.0/). Any third-party copyright material present remains the property of its respective owner(s) and is licensed under its existing terms. Access may initially be restricted at the author’s request. |
| Keywords: | Bayesian Network, GARCH, Portfolio management, Black Litterman |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10110114 |
Archive Staff Only
 |
View Item |
