Copula观点融合的Black-Litterman模型在资产配置中的应用  

Application of BLCOP Model in Asset Allocation

作　　者：梁龙跃 陈珊 Liang Longyue;Chen Shan

机构地区：[1]贵州大学经济学院 [2]中国人民银行福州中心支行

出　　处：《开发性金融研究》2021年第4期53-64,共12页Development Finance Research

基　　金：贵州大学人文社会科学青年项目(GDQN2020022)资助项目

摘　　要：资产配置是现代金融投资理论研究的重要方向之一。本文基于Copula观点融合的Black-Litterman(BLCOP)模型研究Copula函数在资产配置中的应用。本文用带偏t分布拟合市场先验分布,基于GARCH模型预测值构造投资者主观观点,在这二者的基础上形成BLCOP模型的市场后验分布,并选取上证综合指数、上证基金指数、上证国债指数和上证企业债指数进行实证研究。证实基于BLCOP模型构建的组合收益更高、风险更小,整体表现优于Black-Litterman投资组合,是一种理想的资产配置模型。Asset allocation theory is one of important directions of modern financial investment researches.This paper discusses the application of Copula in asset allocation by the Black-Litterman and Copula Opinion Pooling model.With skewed T distribution fitting the market prior distribution and predictors from GARCH model as substitutions to investors’subjective views,we can obtain the posterior distribution of the COP model.This paper adopts Shanghai Securities Composite Index,SSE Fund Index,SSE Bond Index,SSE Corporate Bond Index to conduct the empirical analysis.The conclusion shows that the portfolio derived from COP Model enjoys higher return as well as lower risk than the Black-Litterman model,so that it is an ideal asset allocation model.

关 键 词：资产配置 COPULA BLACK-LITTERMAN模型 BLCOP模型 GARCH模型 

分 类 号：F224[经济管理—国民经济] F832.51