摘要(英) |
Asset allocation using Markowitz model has many disadvantages, particularly because the optimal weight is sensitive to the estimation error of the model. To overcome the problem of estimation error, we follow Black-Litterman model, where the initial expected returns are linked to market implied return and subjective views of investor for each asset to adjust the expect return. To adjust the heteroscedasticity of the volatility, we further combine the standard Black-Litterman model with several GARCH-typed models to estimate time-varying covariance matrix. Finally, we conduct an empirical analysis using five industry indexes in Taiwan stock market. |
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