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Black-Litterman 模型在組合型基金的應用 / Application of the Black-Litterman Model on Fund of Funds

本篇論文主要是將Black-Litterman模型應用在組合型基金上。從一個組合型基金的基金經理人角度出發,在有限的風險下,如何進行資產配置使其達到報酬極大化的目標?第二章介紹mean-variance模型,以及其模型之缺點。第三章介紹Black-Litterman模型,其不僅可以改善mean-variace模型的缺點,此外允許投資人加入主觀看法,結合數量方法以及投資人的主觀看法是此模型的特色之一。第四章,針對兩個模型的進行比較。最後,我們發現:BLack-Litterman模型不僅符合經濟直覺,進行資產配置時也展現模型的穩定性。 / This paper applies a popular asset allocation model: the Black-Litterman model on a fund of funds. First, an overview is given of the foundations of modern portfolio theory with the mean-variance model. Next, we discuss some improvements that could be made over the mean-variance model. The Black-Litterman model addresses some of these flaws and tries to improve them. Finally, simulation has been performed to compare the performance of the Black-Litterman model to mean-variance optimization. The models have been compared in intuitiveness and stability. The conclusion can be drawn that BL-model improves the mean-variance model, in our simulation, both in intuitiveness and stability.

Identiferoai:union.ndltd.org:CHENGCHI/G0953510021
Creators廖哲宏, Liao,Che Hung
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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