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
摘要点击次数: 1176
全文下载次数: 111
刘 超 (北京大学 数学科学学院北京 100871) 
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
查看全文   查看/发表评论   下载pdf阅读器