| 摘要(英) |
Abstract
This research studies the out-of-sample performance of Black-Litterman Model on international asset allocation, which characterizes the combination of the long-run market equilibrium and investors’ views in order to gain a set of expected excess returns and accordingly, to formulate the investment portfolio. As to the portion of the invertors’ views, with short-run momentum, this research formulates two kinds of investors’ views, which are respectively the cumulative return of the previous periods, “Portfolio I” and the average excess return “Portfolio II”. Empirically, G7 is the object of this research of which the data spans from January in 1991 to December in 2000. According to the previous period as well as the same holding period, the asset allocation in the portfolio comes in four periods of 1 month, 3 months, 6 months and 1 year, respectively. The empirical result obtained is as follows:
1. As a whole, the performance of the model, including the cumulative return and sharpe ratio, is better than that of G7 index and Global minimum variance portfolio.
2. As far as the holding period of the portfolio is concerned, the performance of 3 months through 6 months is the best.
3. With regard to the setup of the level of confidence, sharpe ratio is better at more conservative level of confidence (10~50%).
4. In terms of the comparison between “Portfolio I” and “Portfolio II”, mostly the latter is better than the former. |
| 參考文獻 |
參考文獻
一、中文部分
1. 何姓賢, 「全球產業動能現象之探討」，元智大學財務金融所碩士論文，民國91年6月。
二、英文部分
1. Black, F. and R. Litterman（1992）, “Global Portfolio Optimization “, Financial Analyst Journal.
2. Bevan, A. and K. Winkelmann（1998）, ”Using the Black-Litterman Global Asset Allocation: Three Years of Practical Experience .”, Fixed Income Research.
3. Christodoulakis, G. A.（2002）, “Bayesian Optimal Portfolio Selection： the Black-Litterman Approach”,（http://www.staff.city.ac.uk/~gchrist/Teaching/QAP/optimalportfoliobl.pdf ）.
4. Chou, P.H., W.S. Li and G. Zhou（2000）, “Factors, Characteristics, and Portfolio”,
（http://www.mgt.ncu.edu.tw/~chou/clz.pdf ）.
5. Chan, K., A. Hameed and W. Tong （2000）,”Profitability of Momentum Strategies in the International Equity Narkets”, Journal of Financial and Quantitative Analysis .
6. Harvey, C. R., G. Hopkins and L. Clive （1999）,”Stock Selection in Mexico”, Emerging Markets Quarterly 3.
7. He, G. and R. Litterman（1999）,”The Intuition Behind Black-Litterman Model Portfolios”, Goldman Sachs.
8. Iordanidis, K.（2002）,” Global Asset Allocation Portfolio Contruction and Risk Management,（http://www.uni-konstanz.de/FuF/wiwi/jackwerth/K-PortMgmt/Global_asset_allocation.pdf ）.
9. Idzork, T.（2002）,” A Step-By-Step Guide to the Black-Litterman Model”,（http://faculty.fuqua.duke.edu/~charvey/Teaching/BA453_2002/How_to_do_Black_Litterman.doc ）.
10. Lee, W.（2000）, Advanced Theory and Methodology of Tactical Asset allocation, McGraw-Hill .pp.38-40 and pp.171-182.
11. Litterman, R. and K. Winkelmann, ”Risk Management Series：Estimating Market Esposure”, Fixed Income Research,1996.
12. Markowitz, H.（1952）,”Portfolio Selection,”Journal of Finance, March.
13. Michaud, R.（1989） ”the Markowitz Optimization Enigma： Is Optimized Optimal”, Financial Analysis Journal, January/February.
14. Rowenhorst, K. G.（1998）, ”International momentum strategies”, Journal of Finance 53.
15. Sharpe, W.F.（1964）, ”Capital Asset Prices：A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finance.
16. Sharpe, W.F.（1966）,”Mutual Fund Performance”, Journal of Business 39. |
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