基于投资者观点的鲁棒性投资组合选择模型

doi:10.16381/j.cnki.issn1003-207x.2020.2241

中国管理科学 ›› 2022, Vol. 30 ›› Issue (9): 1-9.doi: 10.16381/j.cnki.issn1003-207x.2020.2241

• 论文 • 下一篇

基于投资者观点的鲁棒性投资组合选择模型

赵大萍¹, 柏林², 房勇^2,3, 汪寿阳^2,3

1.首都经济贸易大学金融学院，北京100070;2.中国科学院数学与系统科学研究院，北京100190;3.中国科学院大学经济与管理学院，北京100190

收稿日期:2020-11-26 修回日期:2021-01-12 出版日期:2022-09-20 发布日期:2022-09-01
通讯作者: 房勇(1974-)，男(汉族)，山东聊城人，中国科学院数学与系统科学研究院，副研究员，博士，研究方向：资产定价与风险管理，Email:yfang@amss.ac.cn. E-mail:yfang@amss.ac.cn
基金资助:
国家自然科学基金资助项目(71701138,71631008)

A Robust Portfolio Selection Model Based on Investor’s Views

ZHAO Da-ping¹, BAI Lin², FANG Yong^2,3, WANG Shou-yang^2,3

1. School of Finance, Capital University of Economics and Business, Beijing100070, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;3. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China

Received:2020-11-26 Revised:2021-01-12 Online:2022-09-20 Published:2022-09-01
Contact: 房勇 E-mail:yfang@amss.ac.cn

摘要/Abstract

摘要： Black-Litterman模型因其将投资者观点和市场均衡收益率结合分析的特点广受关注和应用，本文从均衡收益率和投资者观点的不确定性及参数的不确定性两方面对该模型进行鲁棒性建模。首先，本文对于投资者观点及资产均衡收益率进行鲁棒性建模，进而对资本市场均衡收益率进行深度分析，其次对风险厌恶系数进行鲁棒性建模，并基于运筹学理论将模型转化为有成熟算法的二阶锥规划问题。最后基于实际数据给出数值算例，佐证了模型的有效性。

关键词: 投资者观点, Black-Litterman模型, 鲁棒性投资组合

Abstract: As an improvement of mean variance model,Black-Litterman model is one of the most popular methods in asset allocation. An analytical framework is provided that combines the investors’ expectation of the market with the market equilibrium rate of return, and several problems of the mean variance model are solved, such as lack of dispersion, high sensitivity to parameters, and so on. Therefore, Black-Litterman has been widely concerned by the academic community, and has achieved good results in practical application.

Key words: investor’s views, Black-Litterman model, robust portfolio selection

中图分类号:

F830.2

赵大萍, 柏林, 房勇, 汪寿阳. 基于投资者观点的鲁棒性投资组合选择模型[J]. 中国管理科学, 2022, 30(9): 1-9.

ZHAO Da-ping, BAI Lin, FANG Yong, WANG Shou-yang. A Robust Portfolio Selection Model Based on Investor’s Views[J]. Chinese Journal of Management Science, 2022, 30(9): 1-9.

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基于投资者观点的鲁棒性投资组合选择模型

A Robust Portfolio Selection Model Based on Investor’s Views

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