Black-Litterman投资组合模型的进一步推导分析
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引用本文:刘 超.Black-Litterman投资组合模型的进一步推导分析[J].经济数学,2014,(1):1-7
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作者单位
刘 超 (北京大学 数学科学学院北京 100871) 
中文摘要:在理论上通过推导首次得出了Black-Litterman模型(B-L模型)最优权重与信心水平的公式.在各资产收益不相关及单一绝对观点的假设下,得出各资产的B-L模型最优权重与信心水平的简化表达式.借助于此,还对信心水平与最优权重公式的进一步理论分析,并以光大证券的“乌龙指”做实证,详细分析投资者在没有市场观点、拥有内幕信息、以及信心水平在某范围变化时,其所持各投资品权重的特点.
中文关键词:资产配置  Black-Litterman 模型  信心水平  内幕交易  乌龙指
 
The Further Theoretically Derivation and Empirical Analysis of the Black-Litterman Portfolio Model
Abstract:This paper deduced the function of optimal weight and confidence levels, and then simplified this formula under the assumptions that all the assets to be invested are uncorrelated, and the investor has only one absolute view. Based on this, this paper also analysed the formula of the confidence levels and optimal weight. Finally, this paper figured out how the investor would establish his portfolio and how much his profit would be (including the insider-trading case), according to his view, and the confidence level of this view. The ‘Fat finger’ trading error, caused by Everbright Securities Company Limited on August 16, 2013, was taken as an example to analyse.
keywords:asset allocation  Black-Litterman Model  confidence level  insider trading  Fat finger trading error
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