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1、CFAInstituteGlobalPortfolioOptimizationAuthor(s):FischerBlackandRobertLittermanReviewedwork(s):Source:FinancialAnalystsJournal,Vol.48,No.5(Sep.-Oct.,1992),pp.28-43Publishedby:CFAInstituteStableURL:http://www.jstor.org/stable/4479577.Accessed:14/12/201218:12Youruseof
2、theJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalar
3、chive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org..CFAInstituteiscollaboratingwithJSTORtodigitize,preserveandextendaccesstoFinancialAnalystsJournal.http://www.
4、jstor.orgThiscontentdownloadedonFri,14Dec201218:12:21PMAllusesubjecttoJSTORTermsandConditionsGlobalPortfolioOptimizationFischerBlackandparticularviewinfluencesTheseunreasonableresultsstemRobertLittermanportfolioweights,inaccor-fromtwowellrecognizedprob-dancewiththed
5、egreeoflems.First,expectedreturnsareverydifficulttoestimate.Inves-Quantitativeassetalloca-confidencewithwhichhetorstypicallyhaveknowledgeableholdstheview.viewsaboutabsoluteorrelativetionmodelshavenotreturnsinonlyafewmarkets.Aplayedtheimportantrolestandardoptimizatio
6、nmodel,theyshouldinglobalport-however,requiresthemtopro-foliomanagement.AgoodInvestorswithglobalportfoliosofvideexpectedreturnsforallas-partoftheproblemisthatequitiesandbondsaregenerallysetsandcurrencies.Thusinves-suchmodelsaredifficulttoawarethattheirassetallocatio
7、ntorsmustaugmenttheirviewsdecisions-theproportionsofwithasetofauxiliaryassump-useandtendtoresultinfundstheyinvestintheassettions,andthehistoricalreturnsportfoliosthatarebadlyclassesofdifferentcountriesandtheyoftenuseforthispurposebehaved.thedegreesofcurrencyhedg-pro
8、videpoorguidestofuturere-ing-arethemostimportantin-turns.Considerationoftheglobalvestmentdecisionstheymake.InCAPMequilibriumcansig-decidin
