Black & Litterman

Le but de notre projet de fin d’étude est de créer un programme permettant à un gestionnaire de pondérer les différentes lignes de ses actifs, à partir d’un arbitrage selon la méthode de Black-Litterman.

Le modèle de Black-Litterman, extension du modèle de Markowitz, permet une réallocation des poids d’actifs en fonction du risque lié à ces derniers, notamment grâce à des calculs de variance et de covariance. De plus, le modèle intègre les vues de marchés du gestionnaire de portefeuille sous forme matricielle.

Notre programme permet d’arbitrer avec ce modèle les différentes actions de plusieurs milliers d’entreprises dans le monde, en utilisant la base de données de Yahoo Finance, permettant de retrouver les valeurs historiques et actuelles des cours des différentes actions.

L’interface de notre logiciel est un fichier Excel, permettant au gestionnaire d’avoir une vue d’ensemble de son portefeuille actuel, de la pondération « optimale » selon le modèle de Black-Litterman ayant intégré ses vues de marchés, avec le nombre exact d’actions à vendre ou à acheter afin d’obtenir l’arbitrage voulu.

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