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| 研究生： |
廖哲宏 Liao,Che Hung |
|---|---|
| 論文名稱： |
Black-Litterman 模型在組合型基金的應用 Application of the Black-Litterman Model on Fund of Funds |
| 指導教授： |
郭維裕
Kuo,Weiyu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2008 |
| 畢業學年度： | 96 |
| 語文別： | 英文 |
| 論文頁數： | 41 |
| 中文關鍵詞： | 資產配置 、組合型基金 |
| 外文關鍵詞： | the Black-Litterman model, the mean-variance model |
| 相關次數： | 點閱：417 下載：242 |
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本篇論文主要是將Black-Litterman模型應用在組合型基金上。從一個組合型基金的基金經理人角度出發，在有限的風險下，如何進行資產配置使其達到報酬極大化的目標？第二章介紹mean-variance模型，以及其模型之缺點。第三章介紹Black-Litterman模型，其不僅可以改善mean-variace模型的缺點，此外允許投資人加入主觀看法，結合數量方法以及投資人的主觀看法是此模型的特色之一。第四章，針對兩個模型的進行比較。最後，我們發現：BLack-Litterman模型不僅符合經濟直覺，進行資產配置時也展現模型的穩定性。
This paper applies a popular asset allocation model: the Black-Litterman model on a fund of funds. First, an overview is given of the foundations of modern portfolio theory with the mean-variance model. Next, we discuss some improvements that could be made over the mean-variance model. The Black-Litterman model addresses some of these flaws and tries to improve them. Finally, simulation has been performed to compare the performance of the Black-Litterman model to mean-variance optimization. The models have been compared in intuitiveness and stability. The conclusion can be drawn that BL-model improves the mean-variance model, in our simulation, both in intuitiveness and stability.
1. Introduction p.1
2. Literature Review p.4
2.1 Introduction of Fund of Funds
2.2 Markowitz Mean-Variance Portfolio Selection Model
2.3 The Black-Litterman Model
3. Methodology p.16
3.1 Reverse Optimization
3.2 Specifying the views
3.3 The Black-Litterman Formula
3.4 Summary
4. Simulation Results p.22
4.1 Data
4.2 Specifying our views
4.3 Intuitive results with the Black-Litterman Approach
4.4 Comparison of Markowitz Method and Black-Litterman Approach
5. Conclusion p.32
Appendix p.33
Reference p.38
Black, F. and R. Litterman,(1991), “Global asset allocation with equities, bonds and currencies”, Fixed Income Research, Goldman, Sachs & Co.
Black, F. and R. Litterman,(1991), “Asset allocation: combining investor views with market equilibrium”, TheJournal of Fixed Income, 7-18.
Black, F. and R. Litterman,(1992), “Global portfolio optimization”, Financial Analysts Journal 48, no. 5, 28-43.
Charlotta Mankert,(2006), “The Black-Litterman Model - mathematical and behavioral finance approaches towards its use in practice”.
Christodoulakis,(2005), “Bayesian Optimal Portfolio Selection: the Black-Litterman Approach”, working paper.
He, G. and R. Litterman,(1999), “The intuition behind Black-Litterman model portfolio”, Investment Management Research, Goldman, Sachs & Co.
Idzorek, (2005), “A Step-By-Step Guide to the Black-Litterman Model”, Zephyr Associates, Inc, unpublished. available at:
http://www.globalriskguard.com/resources/assetman/BL Draft with Graphs.pdf.
Yih-Min Liang, (2002), “An Application of Black-Litterman Model on International Asset Allocation”, Master's Thesis.
Markowitz, H. (1952), Portfolio selection, The Journal of Finance 45, no. 1, 31-42.
Markowitz, H. (1959), Portfolio selection, John Wiley & Sons, New York.
Michaud, R. O. (1989) “The Markowitz optimization enigma: is `optimized' optimal?”, Financial Analysts Journal 45, no. 1, 31-42.
Satchel and Scowcroft, (2000), “A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction”, Journal of Asset Management.