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Portfolio Optimization Based on an Improved Black-Litterman Model
HUANG Yi, JIANG Wenzheng
Journal of Jishou University(Natural Sciences Edition)
2024, 45 (2):
89-96.
DOI: 10.13438/j.cnki.jdzk.2024.02.014
For the "imperfect effectiveness" of financial markets and the "imperfect rationality" of investors,an improved Black-Litterman model combining investor views and multi-channel information is developed by means of the Bayesian framework to determine the optimal personalized investment strategies.In an empirical study of the Chinese stock market,the problem of quantifying investor views is addressed using the SVM-ARIMA-GARCH model.Compared with several reference strategies,the optimal investment strategy identified by the improved Black-Litterman model has a more robust out-of-sample performance,with higher Sharpe ratios and lower turnover ratios in different market conditions.
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