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题名: | Black-Litterman 模型在組合型基金的應用 Application of the Black-Litterman Model on Fund of Funds |
作者: | 廖哲宏 Liao,Che Hung |
贡献者: | 郭維裕 Kuo,Weiyu 廖哲宏 Liao,Che Hung |
关键词: | 資產配置 組合型基金 asset allocation fund of funds the Black-Litterman model the mean-variance model |
日期: | 2007 |
上传时间: | 2010-12-08 13:43:24 (UTC+8) |
摘要: | 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. |
參考文獻: | 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Goldman, Sachs & Co. Idzorek, (2005), “A Step-By-Step Guide to the Black-Litterman Model”, Zephyr Associates, Inc, unpublished.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. |
描述: | 碩士 國立政治大學 國際經營與貿易研究所 95351002 96 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0953510021 |
数据类型: | thesis |
显示于类别: | [國際經營與貿易學系 ] 學位論文
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