摘要
从20世纪60年代开始,组合管理理论一直以均值方差模型为基本框架,利用资产回报率的均值表征资产收益,利用资产收益率方差表征风险,使投资组合的配置方法得以量化。但均值方差模型也存在对于输入数据敏感度较高的缺陷,使得模型的准确程度无法保证,限制了均值方差模型在养老金管理领域的运用,为了克服均值方差模型的缺陷,本文首先从均值方差理论的市场均衡组合出发,利用均值方差模型,根据养老金投资者的投资需求找出该时点的最优组合,使投资者能够根据主观看法调整组合配置,通过引入Black-Litterman法,设立相对确信度变量,使投资者能通过更新信息来调整投资组合。
From the 1960s, portfolio management has been based on Mean-Variance Model. Mean-Variance Model uses the average yield table to calculate the return on assets and the risk matrix to calculate the risk. All the asset allocation decisions are determined by the two-dimension data. However, Mean-Variance Model has the defect that it is highly sensitive to the quality of input data. Application of mean-variance model is limited due to its drawbacks. In this paper, we start from the market balanced portfolio of Mean-Variance Model and find the optimal combination based on Black-Litterman model according to the investment demand of pension investors, in that investors can adjust the portfolio allocation on their own reviews. Finally, this paper establishes the relative certainty variable by the Black-Litterman Model to make investors adjust the portfolio through updated information.
出处
《财政研究》
CSSCI
北大核心
2016年第4期71-81,共11页
Public Finance Research
基金
国家自然科学基金资助项目(71573015/71303019)资助
