基于B-L模型的大类资产配置投资组合实证研究

Empirical Study on Main Asset Class Asset Allocation in Investment Portfolios

大类资产配置对于机构投资者而言是最重要的决策环节,这决定了投资组合未来收益获取的基本格局和方向。本文首先介绍大类资产配置相关理论提出引入B-L模型的必要性,然后通过对传统B-L模型的改进增强大类资产配置理论的适用性,最后给出实证结果并进行总结分析。

Main asset class asset allocation is the most important aspect of investment decision-making for institutional investors,as it determines the basic pattern of future portfolio income.This paper points to the critical theoretical importance of the Black-Litterman model in determining main asset class allocation and enhances the applicability of the theory by improving on the traditional model.The paper summarizes its empirical findings and provides an analysis of asset allocation decisions.