Abstract: The Black-Litterman model can effectively solve the problem that the mean-variance model is too sensitive to the input (especially the expected return), which makes it widely used in practice. This paper uses the risk equilibrium strategy to construct the market equilibrium portfolio, and asset rotation income based on the currency cycle to construct the subjective view. After the subjective viewpoint confidence level is appropriately simplified, the improved Black-Litterman model is formed. With the data of the three major large-scale assets of stocks, commodities and bonds in China's capital market, an empirical test of the improved Black-Litterman model reveals that, through the adjustment of relative confidence levels, the improved Black-Litterman model effectively balances the market equilibrium portfolio with subjective views, and the Black-Litterman portfolio performs better in both risk control and yield relative to other asset allocation strategies and single asset buy-and-hold strategies. The empirical conclusions fully illustrate the effectiveness of the Black-Litterman model, and also indicate the direction of model improvement from the three aspects of market equilibrium, subjective views and confidence levels.

Key words: Black-Litterman model, asset allocation, risk parity, currency cycle

摘要： Black-Litterman模型能够有效的解决均值-方差模型对输入(尤其是预期收益率)过于敏感的问题,从而使得其在实践中得到了广泛的应用。采用风险平价策略构造市场均衡组合,并采用基于货币周期的资产轮动收益构造主观观点组合,在将主观观点信心水平进行适当简化后,形成了改进后的Black-Litterman模型。利用我国资本市场上股票、商品和债券三种大类资产数据对改进后的Black-Litterman模型进行实证检验后发现:通过相对信心水平的调节,改进后的Black-Litterman模型能够对市场均衡组合和主观观点组合进行有效的平衡,且相对于其他资产配置组合及单种资产买入持有策略,Black-Litterman组合无论是在风险控制还是收益率上都表现的更为出色。实证结论充分说明了Black-Litterman模型的有效性,同时也从市场均衡组合、主观观点及信心水平三个方向指明了模型改进的方向。

关键词: Black-Litterman模型, 资产配置, 风险平价, 货币周期