Asset Allocation Of Black-Litterman Model Based On Elman-GARCH And Factor View

Black-Litterman model has been developed rapidly in the past 30 years since it was proposed in the early 1990 s.It has been accepted by the mainstream of Wall Street and widely used in international asset allocation.In view of the flexibility of the subjective viewpoint and the error setting of the model,it has been favored and deeply concerned by domestic scholars and institutional investors in recent years.Based on the Elman neural network model and the factor viewpoint extended Black-Litterman model,this paper makes an empirical analysis on the Shanghai 50 index component.The framework of this paper is as follows:The first chapter mainly describes the research background and significance of this paper,and reviews the related research of Black-Litterman model at home and abroad.At the same time,it introduces the research ideas and contents of this dissertation.In the second chapter,we briefly introduce the models and methods in this paper,including the extended model of Markowitz model,Black-Litterman model,Markowitz model,Elman neural network and GARCH model.The third chapter is the process of empirical analysis.In this paper,27 stocks of Shanghai 50 Index are selected as freely allocated assets,and the Elman neural network is used to predict the viewpoint income,which is compared with BP neural network and grey BP neural network.The GARCH model is used to predict the viewpoint error,and the Elman-GA-RCH-BL model is analyzed empirically.At the same time,the Elman-GARCH-ABL model is constructed based on the concept of factor,and the empirical study is carried out.Chapter four is the comparative analysis of empirical results.The empirical performance of Elman-GARCH-BL model is compared with that of Elman-BL model and GARCH-BL model.At the same time,the empirical results of Elman-GARCH-ABL model and Elman-ABL model GARCH-ABL model are compared and analyzed.Finally,the empirical performance of Elman-GARCH-BL model and Elman-GARCH-ABL model are compared and analyzed.The empirical results show that the Elman-GARCH-ABL model has some advantages and the investment performance is better.