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中国工业与应用数学学会会刊
主管：中华人民共和国教育部
主办：西安交通大学
ISSN 1005-3085  CN 61-1269/O1
工程数学学报

工程数学学报 ›› 2015, Vol. 32 ›› Issue (4): 517-523.doi: 10.3969/j.issn.1005-3085.2015.04.005

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基于多指标排序信息下Black-Litterman模型的研究

方  正,   程希骏,   葛  颖   

  1. 中国科学技术大学统计与金融系，合肥 230026
  • 收稿日期:2013-10-23 接受日期:2015-03-09 出版日期:2015-08-15 发布日期:2015-10-15
  • 基金资助:
    国家自然科学基金 (11371340).

The Study of Black-Litterman Model Based on Multi-index Information Ranking Method

FANG Zheng,   CHENG Xi-jun,   GE Ying   

  1. Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026
  • Received:2013-10-23 Accepted:2015-03-09 Online:2015-08-15 Published:2015-10-15
  • Supported by:
    The National Natural Science Foundation of China (11371340).

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摘要： 针对Black-Litterman模型中投资者观点难以量化的问题，本文提出一种基于TOPSIS方法的多指标排序信息下的Black-Litterman模型．首先通过TOPSIS方法对具有多个指标属性的资产进行排序，从而获得量化的观点．然后采用最新的随机最优化思想求解最优化问题，确定资产的组合权重．最后对构建的模型进行实证研究，选取上海证券交易所交易的十只个股进行资产配置．实证结果显示：与传统的投资组合方法相比，新方法可以有效的将价格以外的信息结合进来，从而提高了模型的稳健性和运用范围．

关键词: Black-Litterman模型, 多指标排序, TOPSIS方法, 随机最优化

Abstract:

In order to solve the problem that the viewpoints of investors are difficult to be quantified in Black-Litterman model, we propose a new model incorporated in multi-indicators sequencing based on the TOPSIS method. Firstly, quantitative viewpoint matrix is determined by using the multi-indicators sequence of assets, which is designed based on TOPSIS. Secondly, we apply the means of latest stochastic optimization to obtain the weights of portfolio. Finally, empirical research is studied by selecting several stocks in Shanghai Stock Exchange Market used for asset allocation. Empirical results reveal that as compared with other traditional portfolio methods, our new means can effectively include additional information except price, which leads to improvement of the robustness and application of the proposed model.

Key words: Black-Litterman model, multiple indexes ranking, TOPSIS, stochastic optimization

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