| 基于Black—Litterman模型的资产配置研究 |
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| 引用本文： | 郭畅.基于Black—Litterman模型的资产配置研究[J].湖北大学学报(自然科学版),2009,31(1):95-99. |
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| 作者姓名： | 郭畅 |
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| 作者单位： | 上海理工大学,管理学院,上海,200093;南通大学,理学院,江苏,南通,226019
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| 摘 要： | 资产配置在金融投资中起着举足轻重的作用，通过合理而有效的资产配置，投资者可以在不同的金融工具间进行比例的调节，从而获得同等风险下的最大收益．将Black-Litterman方法应用于股票资产配置中，通过对国内若干行业股票收益率的分析，获得比传统投资收益更大的收益．
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| 关 键 词： | Black-Litterman模型 资产配置 收益率 风险 |
An application of the Black-Litterman model for asset allocation |
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| GUO Chang.An application of the Black-Litterman model for asset allocation[J].Journal of Hubei University(Natural Science Edition),2009,31(1):95-99. |
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| Authors: | GUO Chang |
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| Institution: | 1.Business School;University of Shanghai for Science and Technology;Shanghai 200093;China;2.Science College;Nantong University;Nantong 226019;China |
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| Abstract: | Asset allocations take an important role in the financial investments.Via efficient and effective asset allocations,investors can adjust the ratio in the different financial instruments in order to make the highest possible return under the given level of risk.This paper provided an application of the Black-Litterman methodology to asset allocations.From analysjs on gains of domestic stocks in different industry,we found that we could earn more gains than the traditional investment. |
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| Keywords: | Black-Litterman model asset allocation return risk |
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