Abstract:
The thesis aims to study how the optimal portfolio allocation process has evolved, especially during the last seventy years. From the first proposal presented by Harry Markowitz in 1952 with the Mean-Variance model, the cornerstone of Modern Portfolio Theory, to the newest innovative approach proposed by Fischer Black and Robert Litterman in 1990 and designed for Goldman Sachs. Moreover, it is proposed a further and updated evolution of the Black-Litterman model and given a real application through Matlab software.
