Quantitative Investment Research Based On Black-Litterman Model

With the rapid development of the global economy, means of our investment are more and more abundant, meanwhile requirements of the finance and investment are also increasing. Quantitative investment is just born in this background,what's more, investors are paying more attention in quantitative investment,which is also paying a more important role in the financial investment system.Current research of China,relevant domestic quantitative investment is just in the beginning stage, quantitative investment development is not mature in China,and the develop history is very short. Most investors is confused about quantitative investment concept, therefore, quantitative investment research has some significance guidance to investors.The main contents of this paper are summarized as follows:Chapter One gives an introduction to the relative background and the current research on quantitative investment.Chapter Two gives a detailed description and analysis for the concept, the development status of domestic and foreign and the platform of quantitative investment.Chapter Three based on the status of China's stock market, introduced a stock investment strategy.Since the whole process of quantitative investment,the investment strategy is the key point, and the key of it is the asset selection and asset allocation. The stock choose and weight distribution are two important steps stock investments. By constructing a high Sharpe ratio index for stock selection. On the basis of Black-Litterman model, combined the CCC-GARCH model, obtained a new portfolio model by the quantization view of historical data.Chapter Four based on China's stock market data for the stock strategy model, we carry a empirical test and analysis,and the results show that, given the investment strategy of the model can get better excess returns, has some certain advantages.