本文關(guān)鍵詞： 投資者觀點 Black-Litterman模型 多期投資組合　出處：《系統(tǒng)工程理論與實踐》2017年08期 　論文類型：期刊論文

【摘要】：近年來,如何將投資者觀點科學(xué)地納入投資組合決策成為主動投資組合的研究熱點之一.Black-Litterman模型因其基于貝葉斯方法將投資者觀點和市場均衡收益率結(jié)合分析的特點而廣受關(guān)注和應(yīng)用.本文將Black-Litterman模型推廣到多期框架下分析.文中首先克服了Black-Litterman模型無法納入極端自信度觀點的問題;之后本文通過設(shè)立新的.自信度矩陣,給出了Black-Litterman模型的多期框架形式;最后,本文建立了基于CVaR的多期投資組合模型,并將該模型與比均值-方差模型和等權(quán)重模型進行對比給出了數(shù)值算例.結(jié)果表明,基于多期Black-Litterman模型的投資組合有良好效果.
[Abstract]:In recent years, How to integrate investor's viewpoint into portfolio decision scientifically is one of the research hotspots of active portfolio. Black-Litterman model is widely accepted because of its characteristic of combining investor's viewpoint with market equilibrium return based on Bayesian method. Attention and application. This paper extends the Black-Litterman model to the multi-period framework. Firstly, it overcomes the problem that the Black-Litterman model can not incorporate the view of extreme confidence. Then, by setting up a new. Confidence matrix, this paper gives the multi-period frame form of Black-Litterman model. Finally, this paper establishes a multi-period portfolio model based on CVaR. A numerical example is given by comparing the model with the ratio mean-variance model and the equal weight model. The results show that the portfolio based on the multi-period Black-Litterman model has good results.
【作者單位】： 中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院;首都經(jīng)濟貿(mào)易大學(xué)金融學(xué)院;
【基金】：國家自然科學(xué)基金(71271201,71631008)~~
【分類號】：F224;F830

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