Lecture 4 Extended Asset Allocation 资产组合PPT 金融系，研究生课程课件.ppt

Lecture 4Extended Asset Allocation --Some new development, trends and concepts in asset allocation Agenda Black-litterman Model Corner Portfolio Risk Budget Liability driven investment Asset allocation under multiple mental account Black-litterman model---Traditional SAA Traditional SAA Market portfolio is efficient Use historical data to estimate Capital Market Expectation 最优组合就是切点组合，当资本市场处于均衡状态时，该组合也是市场组合。 等式两边分别包含了市场组合的收益与风险。Sharpe给出了隐含风险回避系数的定义： 这样，对于任意资产的隐含超额预期收益率可以写成： Black-litterman model Developed by Balck,litterman,(Q-group,Goldman Sachs),1992, Financial Analysts Journal Combination analysts’ view with historical data （1）认为在未来三个月，小盘价值股的收益率为5%，该看法的置信度为50%； （2）公司债市场相对于国债市场，超额收益率为1%，该看法的置信度为90%； （3）大盘成长、小盘成长板块分别相对大盘价值、小盘价值板块而言，有2%的超额收益，该看法的置信度为10%。 Black-litterman model Black-litterman model--Three steps to calculate New Market Expectation Step 1, 历史数据得到市场隐含收益率与协方差矩阵 由分析师观点数为k， 得到投资者观点向量 Q(k x 1 列向量)，及标示矩阵P（ k x n） 。 Step 2, 根据公式计算信心矫正因子CF, 观点置信度Ω，调整尺度 表示主观预期相对于市场隐含预期的相对权重，在产业界应用中有较大差异 Step 3,由公式5-3 估计市场新的市场预期收益 Black-litterman model--Re-construct portfolio 结合 市场新的市场预期收益 市场隐含协方差矩阵 再形成投资组合 How about =0? Corner Portfolio For individual investor, they may feel indifference between a weight of 30% and 31% on specific asset. Corner Portfolio Corner Portfolio It has the same intuition with Use numerical method to solve optimal portfolio problem Risk Budget Sharpe,2002, Journal of Portfolio Management Risk budget Under optimal decision, each asset’s contribution to the optimal portfolio Model Risk Budget A budget requires each asset’s contribution sums to 1 Risk Budget--example Step 1, use excel-solver to calculate optimal portfolio Step 2, use rt*E（ER) to calculate MRi, RBi=0.5*Xi*MRi liability-driven Investment and Risk Budget Every investor has liability while implementing his asset allocation. Portfolio management is extended to asset-liability manageme