Stable distributions in the Black-Litterman approach to asset allocation
Stable distributions in the Black-Litterman approach to asset allocation
复制标题
DOI：
10.1080/14697680701442731
复制
发表时间：
2007-08-01
影响因子：
1.3
通讯作者：
Fabozzi, Frank J.
中科院分区：
文献类型：
--
作者：
Giacometti, Rosella;Bertocchi, Marida;Fabozzi, Frank J.
量化资产配置模型与投资组合经理和分析师的判断(即定性观点)的整合，可以追溯到Black和Litterman在20世纪90年代初的一系列论文。本文对经典的Black-Litterman模型进行了改进，应用了更符合实际的资产收益率模型(正态分布、t学生分布和稳定分布)，并使用了替代风险度量(基于离散度的风险度量、风险价值、条件风险价值)。报告了月度数据的结果，并通过沿固定水平方向的固定大小的滚动窗口来测试模型的有效性。最后，我们发现，将投资者的观点纳入模型提供了关于不同的分布假设如何影响投资组合的最优组合的信息。
The integration of quantitative asset allocation models and the judgment of portfolio managers and analysts (i.e. qualitative view) dates back to a series of papers by Black and Litterman in the early 1990s. In this paper we improve the classical Black-Litterman model by applying more realistic models for asset returns (the normal, the t-student, and the stable distributions) and by using alternative risk measures (dispersion-based risk measures, value at risk, conditional value at risk). Results are reported for monthly data and goodness of the models are tested through a rolling window of fixed size along a fixed horizon. Finally, we find that incorporation of the views of investors into the model provides information as to how the different distributional hypotheses can impact the optimal composition of the portfolio.