收稿日期: 2013-06-13
修回日期: 2013-11-25
网络出版日期: 2014-07-15
基金资助
国家自然科学基金（11371340）资助
Futures portfolio research based on quantitative perspectives and Black-Litterman model
Received date: 2013-06-13
Revised date: 2013-11-25
Online published: 2014-07-15
在Black-Litterman模型的基础上，利用GJR-GARCH-M模型，由历史数据获得数量化的观点，对期货投资中卖空限制进行优化处理，形成新的量化投资组合模型.检验结果表明，该模型给出的投资策略能获得一定超额收益，具有一定的优越性.
关键词： 多期货品种; 投资组合优化; GJR-GARCH-M; Black-Litterman模型; 卖空
符永健 , 程希骏 , 刘峰 . 基于量化观点和Black-Litterman模型的期货投资组合[J]. 中国科学院大学学报, 2014 , 31(4) : 570 -575 . DOI: 10.7523/j.issn.2095-6134.2014.04.019
Black-Litterman model can be used in combination with the subjective judgment of the investors to solve mixed weights of market equilibrium and subjective perspectives. We use GJR-GARCH-M to generate quantity views on the basis of historical data, and optimize sell short in future investment. Empirical test results show that the new model achieves excess return than other strategies.
Key words： futures; portfolio optimization; GJR-GARCH-M; Black-Litterman model; sell short
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