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

Abstract

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

CLC Number:

F830.2

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.

References

［1］ Markowitz H. Portfolio selection［J］. Journal of Finance, 1952, 7(1): 77-91.
［2］ Markowitz H. Portfolio selection: Efficient diversification of investments［M］. New York, Wiley, 1959.
［3］ Markowitz H. Mean-variance analysis in portfolio choice and capital market［M］. New York, Basil Blackwell, 1987.
［4］ Kolm P N, TütüncüR, Fabozzi F J. 60 Years of portfolio optimization: Practical challenges and current trends［J］. European Journal of Operational Research, 2014, 234(2):356-371.
［5］ Black F, Litterman R. Global portfolio optimization［J］. Financial Analysts Journal, 1992, 48(5):28-43.
［6］ Bevan A, Winkelmann K, Bevan A, et al. Using the black-litterman global asset allocation model: Three years of practical experience［J］. Mathematical Methods of Operations Research, 2000(4): 1-15.
［7］ He G, Litterman R. The intuition behind black-litterman model portfolios［R］. Working paper, Ssrn Electronic Journal, 2002.
［8］ Litterman B. Beyond equilibrium: The black-litterman approach［M］. Quantitative Resources Group of Goldman Sachs Asset Management, Hoboken, NJ: John Wiley Sons, 2003.
［9］ Idzorek T. A step-by-step guide to the Black-Litterman model: Incorporating user-specified confidence levels［J］. Forecasting Expected Returns in the Financial Markets, 2002:17-38.
［10］ Creamer G G. Can a corporate network and news sentiment improve portfolio optimization using the Black–Littermanmodel?［J］. Quantitative Finance, 2015, 15(8):1-12.
［11］ Beach S L, Orlov A G. An application of the black-litterman model with EGARCH-M-derived views for international portfolio management［J］. Financial Markets & Portfolio Management, 2007, 21(2):147-166.
［12］ Fang Yong, Bo Lin, Zhao Daping, et al. Fuzzy views on black-litterman portfolio selection model［J］. Journal of Systems Science & Complexity, 2018, 31(4):975-987.
［13］ Meucci A. Beyond black-litterman: views on non-normal markets［R］. Working paper,Ssrn Electronic Journal, 2005.
［14］ Meucci A. The black-litterman approach: original model and extensions［R］. Working paper,Ssrn Electronic Journal, 2010.
［15］ Mostafa E H, Mohammed E H, Abderrahim E A. Minimizing risk of black-litterman portfolio using genetic algorithms［J］. International Journal of Applied Mathematics & Statistics, 2016, 55(1):51.
［16］尹力博, 韩立岩. 国际大宗商品资产行业配置研究［J］. 系统工程理论与实践, 2014(3):560-574.Yin Libo, Han Liyan. Study of international commodity assets industry allocation strategy［J］. Systems Engineering-Theory& Practice, 2014(3):560-574.
［17］符永健, 程希骏, 刘峰. 基于量化观点和Black-Litterman模型的期货投资组合［J］. 中国科学院大学学报, 2014, 31(4): 570-575.Fu Yongjian, Cheng Xijun, Liu Feng. Futures portfolio research based on quantitative perspectives and Black-Litterman model［J］. Journal of University of Chinese Academy of Sciences, 2014, 31(4): 570-575.
［18］朱业春, 曹崇延. 基于熵补偿的Black-Litterman模型的投资组合［J］. 中国科学技术大学学报, 2015(12):1030-1035.Zhu Yechun, Cao Chongyan. Portfolio based on Black-Litterman model with entropy compensation［J］. Journal of University of Science and Technology of China, 2015(12):1030-1035.
［19］刘超, 黄海. 结合VEC和信心水平分析Black-Litterman投资组合模型［J］. 数学的实践与认识, 2015(3):8-14.Liu Chao, Huang Hai. The analysis of the Black-Litterman portfolio model by VEC and confidence level［J］. Mathematics in Practice and Theory, 2015(3):8-14.
［20］柏林, 赵大萍, 房勇,等. 基于投资者观点的多阶段投资组合选择模型［J］. 系统工程理论与实践, 2017, 37(8):2024-2032.Bai Lin, Zhao Daping, Fang Yong, et al. Multi-period portfolio selection model based on investor's views［J］. Systems Engineering-Theory & Practice, 2017, 37(8):2024-2032.
［21］凌爱凡, 陈骁阳. 嵌入GARCH波动率估计的Black-Litterman投资组合模型［J］. 中国管理科学, 2018, 26(6): 17-25.Ling Aifan, Chen Xiaoyang. The Black-Litterman portfolio model embedded GARCH to estimate volatility［J］. Chinese Journal of Management Science,2018, 26(6): 17-25.
［22］ Goldfarb D, Iyengar G. Robust convex quadratically constrained programs［J］. Mathematical Programming, 2003, 97(3):495-515.
［23］ TütüncüR H, Koenig M. Robust asset allocation［J］. Annals of Operations Research, 2004, 132(1-4):157-187.
［24］ Ghaoui L E, Oks M, Oustry F. Worst-case value-at-risk and robust portfolio optimization: A conic programming approach［J］. Operations Research, 2003, 51(4):543-556.
［25］高莹, 黄小原. 具有VaR约束的跟踪误差投资组合鲁棒优化模型［J］. 中国管理科学, 2007, 15(1): 1-5.Gao Ying, Huang Xiaoyuan. Robust optimal tracking error portfolio models based on VaR［J］. Chinese Journal of Management Science,2007, 15(1): 1-5.
［26］ Zhu S, Fukushima M. Worst-case conditional value-at-risk with application to robust portfolio management［J］. Operations Research, 2009, 57(5):1155-1168.
［27］ Gregorya C, Mitra G. Robust optimization and portfolio selection: The cost of robustness［J］. European Journal of Operational Research, 2011, 212(2):417-428.
［28］ Kim W C， Kim M J， Kim J H， et al. Robust portfolios that do not tilt factor exposure［J］. European Journal of Operational Research, 2014, 234(2):411-421.
［29］ Satchell S, Scowcroft A. A demystification of the Black-Litterman model: Managing quantitative and traditional portfolio construction［J］. Journal of Asset Management, 2000, 1(2):138-150.

[1]	YANG Chao-jun, ZHOU Shi-ying, DING Zhuan-xin, MA Zheng-cheng. Quantification of Investor’s Long-term and Short-term Risk Appetite in Asset Allocation [J]. Chinese Journal of Management Science, 2022, 30(6): 11-21.
[2]	ZHU Guang-wei, YANG Tao, DU Zai-chao. Margin Trading, Short Selling Constraints and Stock Market Volatility [J]. Chinese Journal of Management Science, 2022, 30(4): 13-29.
[3]	YAN Yan, LI Bo. Research on Influence Mechanism of Credit Ratings between Different Payers [J]. Chinese Journal of Management Science, 2022, 30(1): 1-11.
[4]	ZHANG Hong-wei, CHEN Xiao-hui, WEN Jia, WU Yong-chao. Evolutionary Game Analysis of Local Regulatory Sandboxes Competition from The Perspective of Unbalanced Development [J]. Chinese Journal of Management Science, 2020, 28(6): 211-221.
[5]	CHEN Yi-yun. Forecasting Financial Distress of Listed Companies with Textual Content of the Information Disclosure: A Study based MD&A in Chinese Annual Reports [J]. Chinese Journal of Management Science, 2019, 27(7): 23-34.
[6]	LIU Xing, JIANG Shui-quan. Bank Equity Connection, Banking Competition and Financing Constraints of Private Enterprises [J]. Chinese Journal of Management Science, 2015, 23(12): 1-10.
[7]	LIN Yu, CHEN Wang, WANG Yi-ming, HUANG Xun. Study on Dependency Structure of Financial Markets Based on the Stylized Facts and Mixed Copula Function [J]. Chinese Journal of Management Science, 2015, 23(4): 20-29.
[8]	LI Yan-ni, RAN Mao-sheng. The Study of Commercial Bank Liquidity Risk Management Method and Improvement——Application of Dynamic Programs with Simple Recourse Under Fuzzy Qualitative Constraints [J]. Chinese Journal of Management Science, 2011, 19(3): 19-25.
[9]	HAO Ying, LIU Xing, LIN Chao-nan. An Empirical Research on the General Manager Overconfidence and Investment Decision for the Listed Companies [J]. Chinese Journal of Management Science, 2005, (5): 142-148.
[10]	WANG Yan, SUN Pei-yuan, YANG Zhong-zhi. Manager’s Over-Investment and Stock Incentives:A Contract Model [J]. Chinese Journal of Management Science, 2005, (1): 127-131.
[11]	ZOU Hui-wen, CHEN De-mian. Analysis of Dynamic System of Modern Consumer’s Behavior [J]. Chinese Journal of Management Science, 2002, (3): 91-96.

A Robust Portfolio Selection Model Based on Investor’s Views

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 11

Metrics

Comments

Recommended 10