基于投资者观点的多阶段投资组合选择模型

发布时间：2018-03-01 10:36

本文关键词： 投资者观点 Black-Litterman模型多期投资组合　出处：《系统工程理论与实践》2017年08期 　论文类型：期刊论文

【摘要】：近年来,如何将投资者观点科学地纳入投资组合决策成为主动投资组合的研究热点之一.Black-Litterman模型因其基于贝叶斯方法将投资者观点和市场均衡收益率结合分析的特点而广受关注和应用.本文将Black-Litterman模型推广到多期框架下分析.文中首先克服了Black-Litterman模型无法纳入极端自信度观点的问题;之后本文通过设立新的.自信度矩阵,给出了Black-Litterman模型的多期框架形式;最后,本文建立了基于CVaR的多期投资组合模型,并将该模型与比均值-方差模型和等权重模型进行对比给出了数值算例.结果表明,基于多期Black-Litterman模型的投资组合有良好效果.
[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.
【作者单位】：中国科学院数学与系统科学研究院;首都经济贸易大学金融学院;
【基金】：国家自然科学基金(71271201,71631008)~~
【分类号】：F224;F830

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