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The Use Of Black Litterman Model On Chinese Stock Market Research Industry Configuration

Posted on:2013-04-20Degree:MasterType:Thesis
Country:ChinaCandidate:H GuoFull Text:PDF
GTID:2249330377456272Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Asset allocation plays an important role in the financial investment.Investors adjust the proportion between the different financial instrumentsby reasonable and effective asset allocation, not only can increase the returnon investment, can also be effective to avoid investment risk. Assetallocation plays a very important role for institutional investors todiversify and reduce investment risk.This paper briefly described the current development of China’s fund market,asset allocation and future development trends, overview of domestic andinternational Black-Litterman asset allocation model, and laid the researchfoundation for this study, including the Markowitz mean-variance model,capital asset pricing model and Black-Litterman asset allocation model. Thepaper describes portfolio theory and GARCH Models of time series analysismethod, this empirical analysis to lay a theoretical foundation.This paper selects the CSI300Sector Index as assets can be freelyconfigured in the GARCH model and GARCH-M model to predict the January2011index volatility, as investors’ point of view of yield based on the use ofthe Black-Litterman asset the configuration model of asset allocation inJanuary2011. The innovation of this paper is that according to Merrill Lynch’sinvestment clock theory to analyze the empirical results, financial dataanalysis carried out in accordance with the economic cycle. On the basis ofqualitative analysis of the Merrill Lynch Investment Clock theory, A-sharemarkets on an economy run cycle industry asset allocation and quantitativeanalysis. It can be seen that the optimal industry configuration is consistentwith the derived based on the Black-Litterman model A-share industryconfiguration recommended weights and Merrill Lynch Investment Clock theoryaccording to which the different economic cycles.
Keywords/Search Tags:industry allocation, the Black-Litterman asset allocation model, the GARCH model, Merrill Lynch Investment Clock theory
PDF Full Text Request
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