Analysis Of Asset Allocation Based On Investor Views

Asset allocation is one of the most important part of investment and the main factor determining investment portfolio performance. According to some concerned researches show that investment portfolio performance contribution rate of asset allocation is more than 90%.On the one hand,the price information, profitability,scale, breed characteristic and special time changing factor influence investment return under the half complete markets,therefore asset allocation can reduce the risks and increase benefit; on the other hand, with the development of investment area from a single asset to various assets,national markets to international markets, single-base-investment projectscan not meet the requirements of investors, but asset allocation can help them to reduce unsystematic risk from a single asset.Under the demand of asset allocation, Markowitz put forward the mean-variationmodel at first in 1952, which became the classical research method in the correspondingfields and symbolized the beginning of modern portfolio theories.However, the model can not make a high confidence level for the forcast of the "mean" and "variance" in practice,and the other defects of the model is its sensitivity for input variables.Black-Litterman model addresses some of the shortcomings and combine market equilibrium expected returns with "invstor views" to generate a new vector of expected returns.The thesis consists of five chapters.In Chapterl, the introduction discusses the research motives and research framework.Chapter 2 is literature review, introducing the research and development of asset allocation models,such as mean-variance model and Black-Litterman model.In Chapter 3, Black-Litterman model is constructed and discussed in depth.Chapter 4 makes empirical analysis, and it proves the model is effective and stable. At last, we summarize merits and faults of the model,and point out the improvement in future.