Research On Industry Allocation Of China’s Stock Market Based On Black-Litterman Model

With the continuous improvement of the structure of domestic capital market and the increasing variety of investment,the demand for portfolio theory and strategy in the current market is increasing,and the difficulty of quantitative asset allocation is increasing.In order to cope with the current economic environment,this paper uses Black-Litterman model,an effective quantitative asset allocation model,to apply to the Shanghai-Shenzhen 300 industry index in China’s stock market.By testing the validity of the model prediction after embedding subjective views,this paper further optimizes the asset allocation of Black-Litterman model in China’s stock market.The first chapter of this paper briefly introduces the current situation of foreign and domestic economy,and the historical evolution of asset allocation methods taking large types of assets as an example.In the second chapter,the Markowitz mean-variance model is discussed in detail,with emphasis on the basic idea,derivation process and parameter estimation method of Black-Litterman asset allocation model.In the third chapter,the basic principles of GARCH family model analysis and Monte Carlo method are introduced.Selecting the Shanghai and Shenzhen 300 industry index from January 14,2005 to September 28,2018 as basic assets,using GARCH family model and Monte Carlo method to simulate the income of Shanghai and Shenzhen 300 Industry Indices in the fourth quarter of 2018,generating absolute viewpoints of the model,and using Black-Litterman model to provide industry asset allocation.Chapter 4 introduces Merrill Lynch Investment Clock theory,analyses the return performance of the Shanghai and Shenzhen 300 industry index in the time interval of each economic cycle,generates the relative viewpoint of the model,uses Black-Litterman model to provide industry asset allocation for the industry,and combines the mean-variance model and equal weight allocation model to measure the portfolio return and risk of these model allocation.Calculate and compare the forecasting effectiveness of each model.Chapter V,the main conclusions and research prospects of this paper,put forward relevant suggestions.The basic conclusions of this paper are as follows:(1)Investors hold different levels of confidence in their opinions,and different industries have different expected returns based on Black-Litterman model.Because of the differences among different industries,the ranking changes of return after allocation in different industries are also different.(2)Generally speaking,the expected return ranking of Black-Litterman model configuration results is positively correlated with the allocation weight.(3)Compared with the viewpoint of GARCH family model generation,the viewpoint based on the Merrill Lynch Investment Clock theory can improve the Black-Litterman model better,and in comparison with other models,it reflects the robustness of the Black-Litterman model.In this example,the allocation of mean-variance model can play a role in risk control to a certain extent.