基于Black-Litterman模型的股票市场行业配置研究

发布时间：2018-07-17 05:13

【摘要】：研究表明，资产配置对投资组合管理的业绩贡献超过了90%，而行业配置的贡献也超过了20%。在成熟的资本市场上，量化的行业配置方法已经是主流分析方法，而我国目前采用的行业配置方法仍以定性分析为主并且配置过程中涉及很多主观因素使得配置方案具有很大的改进空间。因此，运用量化方法进行行业配置已然成为研究重点。本文运用Black Litterman模型来研究资产的行业配置问题，以期能对我国的行业配置的数量化研究做出贡献。本文首先分析了我国行业配置研究现状及存在的不足，并提出运用Black Litterman模型对资产的行业配置进行量化研究。由于Black Litterman模型的配置效果与观点收益（收益率未来预期）的准确性密切相关，因此本文引入了GARCH模型对收益率进行建模，，用模型的预测值作为观点收益。GARCH模型可以对收益率的各种特征进行刻画，从而使得观点收益更为准确，也使得行业配置方案更加精确，这也是本文的创新所在。从行业配置绩效来看，配置方案所获得的收益率优于上证综合指数收益率，而风险也低于上证综合指数风险；从配置权重来看，该模型所得到的最优权重并未出现极端高配或低配某些行业，这与投资实践相符合。从配置结果来看，基于Black Litterman模型的行业配置研究是有效的。由于数据可得性问题及模型参数设置复杂，本文也有不足之处，将在以后做更加深入的研究。
[Abstract]:The research shows that asset allocation contributes more than 90 percent to portfolio management and industry allocation to more than 20 percent. In a mature capital market, quantitative industry allocation methods have become the mainstream analysis methods. However, the industry allocation method in our country is still based on qualitative analysis, and many subjective factors are involved in the configuration process, which makes the configuration scheme have great improvement space. Therefore, the use of quantitative methods for industry allocation has become the focus of research. In this paper, we use the Black Litterman model to study the industry allocation of assets in order to contribute to the quantitative research of industry allocation in China. Firstly, this paper analyzes the present situation and shortcomings of industry allocation research in China, and puts forward a quantitative study on industry allocation of assets by using Black Litterman model. Because the allocation effect of Black Litterman model is closely related to the accuracy of the viewpoint income (the expected future rate of return), this paper introduces GARCH model to model the return rate. Using the forecast value of the model as the viewpoint income. GARCH model can describe the various characteristics of the return, thus making the viewpoint income more accurate, and also making the industry configuration scheme more accurate, which is the innovation of this paper. From the view of industry allocation performance, the yield of allocation scheme is better than that of Shanghai Composite Index, and the risk is lower than that of Shanghai Composite Index. The optimal weights obtained by the model do not show extreme high or low matching in some industries, which is consistent with investment practice. From the configuration results, the industry configuration research based on Black Litterman model is effective. Due to the problem of data availability and the complexity of model parameter setting, this paper also has some shortcomings, and will do more in-depth research in the future.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F203;F832.51;F224

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