Integrated Portfolio Management: Risk Parity, Momentum and Black-Litterman Strategies. An examination of synergies and effectiveness.

Abstract

This thesis explores the integration of Risk Parity, Momentum, and Black-Litterman strategies into a unified portfolio management framework aimed at optimizing risk-adjusted returns across different interest rate environments. Utilizing historical data from the EURO STOXX 50 index constituents over a 20-year period, the study employs a quantitative methodology to evaluate the effectiveness of these integrated strategies. The findings indicate that combining these strategies enhances diversification and portfolio resilience, particularly in fluctuating interest rate scenarios. The research contributes valuable insights into portfolio optimization, demonstrating the practical benefits of strategy integration for both academic and professional applications.