基于BlackLitterman模型的股票市场行业配置研究.doc

基于Black-Litterman模型的股票市场行业配置研究 AbstractStudies have shown that the contribution of the asset allocation to the investment portfolio management has been more than 90%,while the contribution of the Industry allocation has been more than 20%. In mature capital market,the quantitative method of the Industry allocation has been the mainstream analytical method,but in our country ,the main analytical method is still the qualitative analytical method. the qualitative analytical method involves a lot of subjective factors,making the allocation schemes have a a lot of room to improve. Therefore, the use of the quantitative methods for industry allocation has become a research focus.This article use the Black-Litterman model to study the asset industry allocation ,expecting to make contribution to the quantitative researh of industry allocation in our country.Firstly this paper analyzes the current situation and the shortcomings of industry allocation in our country and propose to use the Black-Litterman model to study the asset industry allocation.Because the final effcet of industry allocation using the Black-Litterman model is relative to the view revenue the expectation yield in the future, This article introduces thd GARCH model that models the yield and predict the view revenue.The GARCH model depicts the various features of the yield well and obtains a more accurate view revenue and makes the allocation scheme more precise,which is the innovation of this paper.From the point of the performance of the industry allocation,the allocation scheme obtains the better yild than The Shanghai composite index yield and has a lower risk.From the point of the optimal weights of the industry allocation,the extreme situation do not appear,which is consistent with the investment practices well.From the the point of the result of the industry allocation,this method using the Black-Litterman model is effective.Because of the deficiency of the data and the complex