基于因子模型的资产配置black-litterman模型在a股市场上的应用

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1、硕士学位论文基于因子模型的资产配置：Black-Litterman模型在A股市场上的应用作者：张飞导师：陈松男上海交通大学上海高级金融学院二○一四年五月万方数据Assetsallocationbasedonfactormodel:anapplicationofBlack-LittermanmodelinA-sharemarketByZhangFeiUndertheSupervisionofProfessorChensongnanSubmittedinPartialFulfillmentoftheRe

2、quirementsFortheDegreeofMasterofFinanceShanghaiAdvancedInstituteofFinanceShanghaiJiaoTongUniversityMay2014万方数据万方数据万方数据ContentsAbstract......................................................................................................................

3、...............i摘要.......................................................................................................................................ii1.Introduction...................................................................................

4、..................................32.LiteratureReview............................................................................................................63.DataDescription.........................................................................

5、.....................................94.StrategyConstruction...................................................................................................104.1Black-Littermanmodel....................................................................

6、........................104.1.1SpecifyingEquilibriummreturns()....................................................114.1.2Specifyinginvestors’views(PandQ).............................................................144.1.3Specify........................

7、......................................................................154.1.4Gettingthenewallocationweights...................................................................174.2Factormodel..............................................................

8、...............................................174.2.1Factorselection.................................................................................................194.2.2Styleconstruction..............................................