文档介绍：基于Black-Litterman模型的股票市场行业配置研究
暨南大学硕士学位论文
摘摘要要
摘摘要要
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。关键词:资产行业配置,期望收益率,Black-Litterman模型,GARCH模型I暨南大学硕士学位论文
AbstractStudies have shown that the contribution of the asset allocation to the investment
portfolio management has been more than 90%,while the contribution of the Industry
allocation has been more than 20%. In mature capital market,the quantitative method
of the Industry allocation has been the mainstream analytical method,but in our
country ,the main analytical method is still the qualitative analytical method. the
qualitative analytical method involves a lot of subjective factors,making the allocation
schemes have a a lot of room to improve. Therefore, the use of the quantitative
methods for industry allocation has become a research article use the
Black-Litterman model to study the asset industry allocation ,expecting to make
contribution to the quantitative researh of industry allocation in our
this paper analyzes the current situation and the shortcomings of industry allocation in
our country and propose to use the Black-Litterman model to study the asset industry
the final effcet of industry allocation using the Black-Litterman
model is relative to the view revenue the expectation yield in the future, This article
introduc