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| Title: | Black-Litterman 模型在組合型基金的應用
Application of the Black-Litterman Model on Fund of Funds |
| Authors: | 廖哲宏
Liao,Che Hung |
| Contributors: | 郭維裕
Kuo,Weiyu
廖哲宏
Liao,Che Hung |
| Keywords: | 資產配置
組合型基金
asset allocation
fund of funds
the Black-Litterman model
the mean-variance model |
| Date: | 2007 |
| Issue Date: | 2010-12-08 13:43:24 (UTC+8) |
| Abstract: | 本篇論文主要是將Black-Litterman模型應用在組合型基金上。從一個組合型基金的基金經理人角度出發，在有限的風險下，如何進行資產配置使其達到報酬極大化的目標？第二章介紹mean-variance模型，以及其模型之缺點。第三章介紹Black-Litterman模型，其不僅可以改善mean-variace模型的缺點，此外允許投資人加入主觀看法，結合數量方法以及投資人的主觀看法是此模型的特色之一。第四章，針對兩個模型的進行比較。最後，我們發現：BLack-Litterman模型不僅符合經濟直覺，進行資產配置時也展現模型的穩定性。
This paper applies a popular asset allocation model: the Black-Litterman model on a fund of funds. First, an overview is given of the foundations of modern portfolio theory with the mean-variance model. Next, we discuss some improvements that could be made over the mean-variance model. The Black-Litterman model addresses some of these flaws and tries to improve them. Finally, simulation has been performed to compare the performance of the Black-Litterman model to mean-variance optimization. The models have been compared in intuitiveness and stability. The conclusion can be drawn that BL-model improves the mean-variance model, in our simulation, both in intuitiveness and stability. |
| Reference: | Black, F. and R. Litterman,(1991), “Global asset allocation with equities, bonds and currencies”, Fixed Income Research, Goldman, Sachs & Co.
Black, F. and R. Litterman,(1991), “Asset allocation: combining investor views with market equilibrium”, TheJournal of Fixed Income, 7-18.
Black, F. and R. Litterman,(1992), “Global portfolio optimization”, Financial Analysts Journal 48, no. 5, 28-43.
Charlotta Mankert,(2006), “The Black-Litterman Model - mathematical and behavioral finance approaches towards its use in practice”.
Christodoulakis,(2005), “Bayesian Optimal Portfolio Selection: the Black-Litterman Approach”, working paper.
He, G. and R. Litterman,(1999), “The intuition behind Black-Litterman model portfolio”, Investment Management Research, Goldman, Sachs & Co.
Idzorek, (2005), “A Step-By-Step Guide to the Black-Litterman Model”, Zephyr Associates, Inc, unpublished. available at:
http://www.globalriskguard.com/resources/assetman/BL Draft with Graphs.pdf.
Yih-Min Liang, (2002), “An Application of Black-Litterman Model on International Asset Allocation”, Master`s Thesis.
Markowitz, H. (1952), Portfolio selection, The Journal of Finance 45, no. 1, 31-42.
Markowitz, H. (1959), Portfolio selection, John Wiley & Sons, New York.
Michaud, R. O. (1989) “The Markowitz optimization enigma: is "optimized` optimal?”, Financial Analysts Journal 45, no. 1, 31-42.
Satchel and Scowcroft, (2000), “A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction”, Journal of Asset Management. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
95351002
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0953510021 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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