基于投资者观点的多阶段投资组合选择模型

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.

Multi-period portfolio selection model based on investor's views

In recent years, more and more researchers focused on how to use investor's view to assist portfolio selection. Black-Litterman model has been widely used because of its characteristics of combine investor's views and market equilibrium by Bayesian methods. This paper attempts to expend the Black-Litterman model to multi-period. Firstly, this paper solves the problem that the Black-Litterman model can't deal with views of extreme confidence. Then the paper establishes a new confidence matrix to expend the Black-Litterman model to multi-period framework. Finally, based on multi-period Black-Litterman model, this paper establishes a portfolio model with CVaR and empirically examines the model with mean-variance model and equal-weighted model as benchmark. The empirical results show that the multi-period Black-Litterman model performs better.