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Title: Bayesian networks for asset management and financial risk
Author: de Montigny, Denis
ISNI:       0000 0004 9359 7247
Awarding Body: UCL (University College London)
Current Institution: University College London (University of London)
Date of Award: 2020
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available