Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

Chinese Journal of Engineering Mathematics ›› 2015, Vol. 32 ›› Issue (4): 517-523.doi: 10.3969/j.issn.1005-3085.2015.04.005

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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).

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

CLC Number: