摘要
本文基于Black-Litterman框架提出了中国股票市场投资中行业间资产配置的策略。因为宏观经济指标对于股票收益率有一定的解释能力,本文通过宏观经济变量对收益率序列建模并且用GJR-GARCH模型捕捉资产收益率变化的特征,得出的预测资产收益率及其方差作为Black-Litterman框架下的输入。最后通过实证结果表明,基于这种策略构建的投资组合收益率在一定条件下会优于基于市场均衡权重或者传统Markowitz框架下的投资策略。
This paper provides a strategy of industry asset allocation based on Black-Litterman model in Chinese stock market. In this paper, we suggest using the macro economic variables to model the return series, while catching characters of the variety of the asset return with GJR-GARCH model, and taking the predicted returns and its variance as the inputs of Black-Litterman model. We allocate the asset based on this method with index of industrial in Chinese stock market, and the results indicate that this strategy will outperform the strategy based on the equilibrium market weights and the traditional Markowitz framework.
出处
《数理统计与管理》
CSSCI
北大核心
2011年第4期741-751,共11页
Journal of Applied Statistics and Management
