运用期权偏度分析对Black-Litterman模型的改进

Application of Option Skew Analysis to the Improvement of Black-Litterman Model

Black-Litterman模型是在发达国家广为应用的投资组合模型,但该模型面临如何确定投资人主观收益的难题,当下的机构和个人投资者通常是运用经验性的数据随意确定其主观收益。实证分析表明,运用仿真方法测算期权的隐含波动率,通过期权波动率偏度分析建立Black-Litterman模型中的投资者主观收益,是对该模型的有效改进。

Black-Litterman Model is an investment portfolio model which is widely used in developed countries, however, this model faces the difficulty in how to determine the investor＇ s subjective return, currently, the agencies and individual investors usually use experience and data random to determine their subjective return. Empirical analysis shows that the effective improvement of this model can be conducted by using simulation method to measure the implicit volatility of the option and by analyzing the subjective return of the investors in Black- Litterman Model set up by option skew analysis.