嵌入GARCH波动率估计的B1ack-Litterman投资组合模型

doi:10.16381/j.cnki.issn1003-207x.2018.06.003

Abstract

Abstract: The investor's subjective view is the key factor in B1ack-Litterman portfolio model and can improve the performance of the mean-variance portfolio. But, in practice, it is found that the opinions of investors are difficult to measure and compute.To overcome this difficulty, GARCH model is embedded to B1ack-Litterman model. The volatility prediction of GARCH model is used to estimate the paramaters in B1ack-Litterman model. Specially, we summary as follows.
Methods:In order to estimate the parameters of subjective views of investors, GARCH model is used to estimate the views' vectors and subjective volatility by the following predicting equation:

with all coefficients known.
Data:Two market data sets are considered. One is from China A share market, in which we take SSE 380 Index, and the portfolio consists of 10 different indices from SSE 380 Index. The data is from Jan 4^th 2005 to Dec 31^st 2016. Another is from US market, in which three indices, 10 Industry portfolio, 17 Industry portfolio and 25 Indusrty portfolio, are chosen, and all data is from French Library data.
Results:Comparisions with mean-variance model and BL model with modified by Idzorek(2002) are considered. Our numerical results show that (1) The BL model embedded GARCH can reduce the volatility of portfolio and obtain the smallest volatility among three models, (2) The largest Sharpe ratio can be obtained by the proposed model, and (3) the cumulative return (wealth) is highest among three model for the same investment period.

Key words: Black-Litterman portfolio model, GARCH model, volatility estimation

CLC Number:

F830.59

LING Ai-fan, CHEN Xiao-yang. The B1ack-Litterman Portfolio Model Embedded GARCH to Estimate Volatility[J]. Chinese Journal of Management Science, 2018, 26(6): 17-25.

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The B1ack-Litterman Portfolio Model Embedded GARCH to Estimate Volatility

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