The Research Of The Optimal Industry Allocation In Chinese A Share Market Based On Black-Litterman Model

The investors have very heavy interest in portfolio reach in Financial.In the reality,the investors always manager their investment strategies depending on their own opinions,so that these investments strategies always influenced by the human weakness-greed and fear.That's why the return couldn't always reach the expectation of the investors.The research of quantitative portfolio could balance the risk and return that could make investors get the good earnings by controlling the risk or understand the earnings from the risk.In the meantime,because of the quantitative investment have developed a long time in the financial market of America,a lot of portfolios have actually been used for the investors.But as all known,the financial market in china was born not so long,so the investors of China focus on the financial technology recently.therefore,there are little quantitative fund in our country,only occupied 6% in all country fund.The fund who used Black-Litterman model is far less than the quantitative fund.And we could know a lot of quantitative fund suffered the large loss because of the logic of market was changed by the China Securities Regulatory Commission turned their policy in 2017.So,do some research that how to use Black-Litterman model to get excess return have vital attractive between the investors of China.Because of that,more and more learner have large enthusiasm to do research in quantitative investment by using BlackLitterman model.It's couldn't deny that with the development of mathematical analysis and computer technology,the investors have large enthusiasm to know how to use quantitative technology in China stock market,although a lot of learner defined that the China stock market is an invalid market.And it is a trend that the China government is making the financial market more and more open.The first section in this paper reviews the background and significance of the topic,demonstrating why we need to do some research of the industry configuration with the Black-Litterman model.In the meantime,this section reviews the research of BlackLitterman model of domestic learners or foreign learners,laying the foundation of research in this paper.The second section simply demonstrate to basic theory foundation-Markowitz model and CAPM.We also explain the theory of and the modeling approach of Black-Litterman model in detail.To import the investors viewpoint in Black-Litterman,and according the feature of the data of financial market and the research of predecessors,we would use the GED-EGARCH-M model to predict the exceed return of the asset.The time series analysis lays the foundation of econometrics to the empirical analysis in this paper.The third section is the empirical analysis of this paper.In the aspect of the empirical analysis,I would use ten primary industries of zhong zheng eight hundred.Because of how to express the viewpoint of investor is an important part of Black-Litterman model,that can combine the data of fact and help the investor do their right strategies of their investment.Different learner have different way to express that.And in this paper,I would use GED-EGARCH-M model with ARMA model to predict the earnings of every industry.At the meantime,this paper have contrastive analysis in every confidence level.And the result shows that the Black-Litterman model with GED-EGARCH-M model have something positive in the result.