應用 Black-Litterman model下使用EARCH-M 找出投資者看法之台灣50應用

This research studies performance of the Black-Litterman Model on Taiwan 50 constituent allocation .As to the portion of the invertors’view ,with EGARCH-M and Momentum strategy ,the combination of the Implied Excess Equilibrium Return and investor’s views to take shape of expected excess returns to formulate the investment portfolio.This research formulates two kinds of investors’ views which are respectively the exclude Momentum strategy of the previous periods, “Portfolio I” and include Momentum strategy “Portfolio II”。 Because the data of the research spans from January in 2005 to December in 2009. The global financial markets severe turbulence in the period .So we try to use the EGARCH-M that can help us capture the volatility clustering effect and reduce investor risk in the same time. The empirical results are follows: 1． Although data indicate that application of Black and Litterman model better than the traditional asset allocation. There is no statistics evidence can prove that Black and Litterman model is better than traditional asset allocation 2． One month investment portfolio is better than bi-weekly 3． Portfolio without momentum strategy is better than portfolio with momentum strategy. 4． Black and Litterman model has better risk management ability than the traditional asset allocation and index , especially the best with high confidence （90%） view