Asset Allocation Based on the Black-Litterman and GARCH Models

Asset Allocation Based on the Black-Litterman and GARCH Models

林煒紘(Wei-hung Lin)

指導教授 ： 鄧惠文

國立中央大學/理學院/統計研究所/碩士(2015年)

摘要

雖然Markowitz 模型在實務上是可用的，但是它仍存在許多缺點，尤其是在估計最適權重時，常會因為參數過度敏感的問題而導致嚴重的估計誤差產生。為了解決這個估計誤差的問題，我們使用Black-Litterman model，藉由它將市場隱含報酬率與投資人的觀點做聯結去修正預期報酬率，此外為了能更準確刻畫投資人之觀點誤差我們也將標準的Black-Litterman model 模型結合不同之GARCH 模型去估計隨時間變化的共變異數矩陣。最後，我們利用台灣股票市場中的五檔產業指數提供了一些實證分析。

關鍵字

馬科維茨 ； Black-Litterman ； GARCH ； EGARCH

並列摘要

Asset allocation using Markowitz model has many disadvantages, particularly because the optimal weight is sensitive to the estimation error of the model. To overcome the problem of estimation error, we follow Black-Litterman model, where the initial expected returns are linked to market implied return and subjective views of investor for each asset to adjust the expect return. To adjust the heteroscedasticity of the volatility, we further combine the standard Black-Litterman model with several GARCH-typed models to estimate time-varying covariance matrix. Finally, we conduct an empirical analysis using five industry indexes in Taiwan stock market.

並列關鍵字

Markowitz ； Black-Litterman ； GARCH ； EGARCH

參考文獻

Huang, S. T. (2007). Exploring the Optimal Control of Taiwan’s Banking Industry from the Taiwan’s Banking Industry Mergers. Taiwan Electronic Periodical Services

Beach, S. L. and A. G. Orlov (2007). An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management. Financial Market Portfolio management 21, 147–166.

Bertsimas, D., V. Gupta, and I. C. Paschalidis (2012). Inverse Optimization: A New Perspective on the Black-Litterman Model. Journal of Operations Research 60(6), 11–12.

Black, F. and R. Litterman (1991). Asset Allocation: Combing Investors View with Market Eqilibrium. Journal of Fixed Income 1(2), 7–18.

Black, F. and R. Litterman (1992). Global Porfolio Optimization. Financial Analysts Journal 48(5), 28–43.