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《Journal of Guangxi Normal University(Natural Science Edition)》 2018-04
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Research on Asset Portfolio Based on ARMA-GARCH-t and Black-Litterman Model

DU Quanying;XU Meiping;School of Science,Beijing Technology and Business University;  
In this paper,the ARMA-GARCH-t model is employed to forecast daily return and volatility of the three stocks with a high market value in different industries of Shanghai Stock Exchange.Under the framework of extended Black-Litterman(BL)model,investor's subjective return distributions are combined with asset's priori balanced distribution.Then the weights of the asset allocation is calculated and compared with the ones from traditional Markowitz mean-variance(MV)investment portfolio.The empirical results show that the BL model puts more weight to the asset with high investor's confidence level and the return of portfolio is larger than the MV case.Finally,the analysis results of the margin trading are applied to verify the validity of the market allocation of the three stocks,which confirms the conclusion that the BL model is more in line with investor expectations.The study can provide more reference for asset managers and investors in asset allocation.
【Fund】: 国家自然科学基金(11501017);; 北京市教委科研计划一般项目(理工类)(SQKM201610011006)
【CateGory Index】: F832.51
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