结合VEC和信心水平分析Black-Litterman投资组合模型

The Analysis of the Black-Litterman Portfolio Model by VEC and Confidence Level

在理论上通过推导得出了Black-Litterman模型（B-L模型）最优权重与信心水平的关系式.实证部分开创性地将多元时间序列VEC模型运用到B-L模型的观点收益预测中.结果表明：且通过向量误差修正模型,实证取得了较好的效果.在任意一种做空限制下,随着信心水平在0%-70%水平上升,收益率有连续上升的趋势,并逐渐趋稳;风险有并不明显的下降的趋势.对同一信心水平而言,随做空限制的放宽,收益率有上升趋势.

This paper, focusing on the Black-Litterman（B-L） model, theoretically deduced the relationship between optimal weight and confidence levels. We creatively combine the B-L model and Vector error correction model （VEC Model） for empirical research, and get good results by VEC Model. It showes that： under the same short limitation, with the confidence level increasing from 0% to 70%, the return of the portfolio change continuously; the return of the portfolio trend upward, the risk of the portfolio trend downward slowly. At the same confidence level, with short restrictions relaxed, the return of the portfolio trend upward.