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基于Black-Litterman模型的 沪深港基金动态资产配置研究
发布时间:2018年10月09日 08:21    作者:韩焯林,乔元波,邵晓燕    点击:[]

韩焯林,乔元波,邵晓燕. 基于Black-Litterman模型的沪深港基金动态资产配置研究 [J]. 投资研究,201837(4)125139.


摘要:随着沪深港股市的可投资性和流动性进一步加强,沪深港混合型基金的动态资产配置成为降低 非系统性风险的一种重要途径。本文试图通过Black-Litterman模型为其提供一种系统性框架。通过构建 VAR模型,将宏观经济因素纳入观点超额收益率的计算中,在此基础上构建优化配置模型。研究发现,与市场配置、同业基金指数相比,Black-Litterman模型优化配置的各项指标表现较好,尤其是年化波动率较小,能够在较小风险下取得较高收益。

关键词:沪深港基金,动态资产配置,VAR模型,Black-Litterman模型


The Asset Allocation of “Shanghai-Shenzhen-HK” Stock-Connect Fund Based on Black - Litterman Model

Abstract: In recent years, Shanghai, Shenzhen and Hong Kong stock markets have become more accessible to investors. Dynamic asset allocation of the “Shanghai-Shenzhen-HK” stock-connect fund is an important way to reduce the unsystematic risk. This paper attempts to provide an effective method for the asset allocation of the “Shanghai-Shenzhen-HK” stock-connect fund based on the Black-Litterman model framework. First, macroeconomic and financial market factors are included in the calculation of the excess returns of investors’ viewpoints, and the VAR model is used to forecast all these variables. Secondly, the optimal allocation model is constructed to calculate the returns of the nine types of assets in the different asset allocation mode during sample period. Our results indicated as compared to market-capitalization weighted method and other mutual fund indices, our suggested model applying one's view through VAR to Black- Litterman model delivered better performances, such as lower annualized volatility and higher Sharpe ratio.

Key words: “Shanghai-Shenzhen-HK”stock-connect fund, Dynamic asset allocation, VAR model, Black - Litterman model


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