本文主要研究内容
作者赵全生（2019）在《基于GJR-GARCH-M优化的BL模型及其实证检验》一文中研究指出：随着我国金融市场改革深度以及开放程度的不断加大,市场逐渐成为影响投资收益与风险的最重要因素,在此背景下,为了实现投资收益的最大化同时确保风险的可控性,市场投资组合的优化配置问题也逐渐成为投资领域研究的热点。西方学术界最早展开了对市场投资组合优化配置问题的研究,其中最为经典的便是马科维茨均值方差投资组合模型,这一理论也为现代数量金融学的发展打下了基石。虽然马科维茨均值方差投资组合模型本身具有种种优点,但是通过大量市场数据测算的实证研究发现,该模型的具体应用在现实市场中也存在一定的局限性和不适用性。其中最大的缺陷在于,该模型的测算结果对于输入数据的变动反映十分敏锐,即输入数据的统计特征很小变动就可能导致配置的结果出现较大比例的变化,甚至会出现由原本配置做多某种投资标的变为配置做空该标的。为了改进马科维茨均值方差模型的缺陷和不足,扩大模型的应用范围和增强模型的实证应用效果,高盛公司的两位研究员Fisher Black和Robert Litterman于1992年成功的构建出原始的Black-Litterman模型资产配置框架,即创造性的将市场中的投资者的主观观点引入均值方差模型的分析框架当中,构建出一种全新的投资分析框架,从而将市场均衡收益的数据与投资者的主观观点进行融合分析,根据大量学者的实证分析证明,全新的分析框架可以体现出诸多优于均值方差的特征,并且更加适用于实际市场的应用。Black-Litterman模型既可以应用于战略性资产配置,也可以应用于战术性资产配置。如今该模型已经成为金融市场内研究员进行资产配置研究的一大利器。但是,Black-Litterman模型同样存在着一些缺陷和不足,并且难以适应现代化金融市场的快速发展对资产配置理论提出的新的要求,因此,对于该模型的进一步改进就显得尤为必要。在原始的Black-Litterman模型的构建过程中,两位学者并没有给出如何具体量化投资者观点参数的详细过程,这个缺陷也成为Black-Litterman模型实际应用中众多学者争论的焦点。为了解决和克服这一难题,本文对Black-Litterman模型进行了创造性的改进,在原模型的基础上引入GJR-GARCH-M模型,将时间序列模型的波动率参数估计方法嵌入到Black-Litterman模型中。同时根据我国股票市场的行业数据进行了相关实证检验,结果证明在Black-Litterman模型中嵌入GJR-GARCH-M模型能够很好的提高模型在实际应用过程中的效果。优化后的Black-Litterman模型不但可以克服原始模型中观点矩阵设置过于随意的缺点,而且还兼顾解决资产收益率波动聚集性以及异方差性导致的估计不准确的问题,同时也能够很好地提高投资组合的夏普比率,实现较好的以低风险获得较高收益的财富积累效果。
Abstract
sui zhao wo guo jin rong shi chang gai ge shen du yi ji kai fang cheng du de bu duan jia da ,shi chang zhu jian cheng wei ying xiang tou zi shou yi yu feng xian de zui chong yao yin su ,zai ci bei jing xia ,wei le shi xian tou zi shou yi de zui da hua tong shi que bao feng xian de ke kong xing ,shi chang tou zi zu ge de you hua pei zhi wen ti ye zhu jian cheng wei tou zi ling yu yan jiu de re dian 。xi fang xue shu jie zui zao zhan kai le dui shi chang tou zi zu ge you hua pei zhi wen ti de yan jiu ,ji zhong zui wei jing dian de bian shi ma ke wei ci jun zhi fang cha tou zi zu ge mo xing ,zhe yi li lun ye wei xian dai shu liang jin rong xue de fa zhan da xia le ji dan 。sui ran ma ke wei ci jun zhi fang cha tou zi zu ge mo xing ben shen ju you chong chong you dian ,dan shi tong guo da liang shi chang shu ju ce suan de shi zheng yan jiu fa xian ,gai mo xing de ju ti ying yong zai xian shi shi chang zhong ye cun zai yi ding de ju xian xing he bu kuo yong xing 。ji zhong zui da de que xian zai yu ,gai mo xing de ce suan jie guo dui yu shu ru shu ju de bian dong fan ying shi fen min rui ,ji shu ru shu ju de tong ji te zheng hen xiao bian dong jiu ke neng dao zhi pei zhi de jie guo chu xian jiao da bi li de bian hua ,shen zhi hui chu xian you yuan ben pei zhi zuo duo mou chong tou zi biao de bian wei pei zhi zuo kong gai biao de 。wei le gai jin ma ke wei ci jun zhi fang cha mo xing de que xian he bu zu ,kuo da mo xing de ying yong fan wei he zeng jiang mo xing de shi zheng ying yong xiao guo ,gao cheng gong si de liang wei yan jiu yuan Fisher Blackhe Robert Littermanyu 1992nian cheng gong de gou jian chu yuan shi de Black-Littermanmo xing zi chan pei zhi kuang jia ,ji chuang zao xing de jiang shi chang zhong de tou zi zhe de zhu guan guan dian yin ru jun zhi fang cha mo xing de fen xi kuang jia dang zhong ,gou jian chu yi chong quan xin de tou zi fen xi kuang jia ,cong er jiang shi chang jun heng shou yi de shu ju yu tou zi zhe de zhu guan guan dian jin hang rong ge fen xi ,gen ju da liang xue zhe de shi zheng fen xi zheng ming ,quan xin de fen xi kuang jia ke yi ti xian chu zhu duo you yu jun zhi fang cha de te zheng ,bing ju geng jia kuo yong yu shi ji shi chang de ying yong 。Black-Littermanmo xing ji ke yi ying yong yu zhan lve xing zi chan pei zhi ,ye ke yi ying yong yu zhan shu xing zi chan pei zhi 。ru jin gai mo xing yi jing cheng wei jin rong shi chang nei yan jiu yuan jin hang zi chan pei zhi yan jiu de yi da li qi 。dan shi ,Black-Littermanmo xing tong yang cun zai zhao yi xie que xian he bu zu ,bing ju nan yi kuo ying xian dai hua jin rong shi chang de kuai su fa zhan dui zi chan pei zhi li lun di chu de xin de yao qiu ,yin ci ,dui yu gai mo xing de jin yi bu gai jin jiu xian de you wei bi yao 。zai yuan shi de Black-Littermanmo xing de gou jian guo cheng zhong ,liang wei xue zhe bing mei you gei chu ru he ju ti liang hua tou zi zhe guan dian can shu de xiang xi guo cheng ,zhe ge que xian ye cheng wei Black-Littermanmo xing shi ji ying yong zhong zhong duo xue zhe zheng lun de jiao dian 。wei le jie jue he ke fu zhe yi nan ti ,ben wen dui Black-Littermanmo xing jin hang le chuang zao xing de gai jin ,zai yuan mo xing de ji chu shang yin ru GJR-GARCH-Mmo xing ,jiang shi jian xu lie mo xing de bo dong lv can shu gu ji fang fa qian ru dao Black-Littermanmo xing zhong 。tong shi gen ju wo guo gu piao shi chang de hang ye shu ju jin hang le xiang guan shi zheng jian yan ,jie guo zheng ming zai Black-Littermanmo xing zhong qian ru GJR-GARCH-Mmo xing neng gou hen hao de di gao mo xing zai shi ji ying yong guo cheng zhong de xiao guo 。you hua hou de Black-Littermanmo xing bu dan ke yi ke fu yuan shi mo xing zhong guan dian ju zhen she zhi guo yu sui yi de que dian ,er ju hai jian gu jie jue zi chan shou yi lv bo dong ju ji xing yi ji yi fang cha xing dao zhi de gu ji bu zhun que de wen ti ,tong shi ye neng gou hen hao de di gao tou zi zu ge de xia pu bi lv ,shi xian jiao hao de yi di feng xian huo de jiao gao shou yi de cai fu ji lei xiao guo 。
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论文作者分别是来自山东大学的赵全生，发表于刊物山东大学2019-07-16论文，是一篇关于模型论文,投资组合模型论文,观点参数估计论文,山东大学2019-07-16论文的文章。本文可供学术参考使用，各位学者可以免费参考阅读下载，文章观点不代表本站观点，资料来自山东大学2019-07-16论文网站，若本站收录的文献无意侵犯了您的著作版权，请联系我们删除。
标签：模型论文; 投资组合模型论文; 观点参数估计论文; 山东大学2019-07-16论文;