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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/49555


    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    Idzorek, (2005), “A Step-By-Step Guide to the Black-Litterman Model”, Zephyr Associates, Inc, unpublished.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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