Journal of University of Chinese Academy of Sciences >
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
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
FU Yongjian , CHENG Xijun , LIU Feng . Futures portfolio research based on quantitative perspectives and Black-Litterman model[J]. Journal of University of Chinese Academy of Sciences, 2014 , 31(4) : 570 -575 . DOI: 10.7523/j.issn.2095-6134.2014.04.019
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