Sector Investment Strategy with the Black-Litterman Model
- 주제(키워드) Black-Litterman Model , Sector Investment Strategy , Sector Rotation Momentum Strategy , Integer Programming , Portfolio Optimization
- 발행기관 고려대학교 정보경영공학전문대학원
- 지도교수 이영호
- 발행년도 2012
- 학위수여년월 2012. 8
- 학위구분 석사
- 학과 정보경영공학전문대학원 정보경영공학과
- 세부전공 경영공학
- 원문페이지 36 p
- 실제URI http://www.dcollection.net/handler/korea/000000035478
- 본문언어 영어
- 제출원본 000045718969
초록/요약
In this paper, we deal with a sector investment strategy by implementing the Black-Litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of Mean-Variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.
more목차
1. Introduction 1
2. The Black-Litterman Model 5
3. Sector Investment Strategies in the Black-Litterman Model 7
4. Sector Fund Optimization Model Using Black-Litterman Return 13
5. Computational Results 25
