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Bayesian Networks for Asset Management and Financial Risk

de Montigny, Denis; (2020) Bayesian Networks for Asset Management and Financial Risk. Doctoral thesis (Ph.D), UCL (University College London).

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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)
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 > 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
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