the intuition behind B-L model portfolios精选.pdfVIP

THE INTUITION BEHIND BLACK-LITTERMAN MODEL PORTFOLIOS by Guangliang He Goldman Sachs Asset Management 32 Old Slip, 24th Floor New York, NY 10005 guangliang.he@ Robert Litterman Goldman Sachs Asset Management 32 Old Slip, 24th Floor New York, NY 10005 bob.litterman@ Abstract In this article we demonstrate that the optimal portfolios generated by the Black-Litterman asset allocation model have a very simple, intuitive property. The unconstrained optimal portfolio in the Black-Litterman model is the scaled market equilibrium portfolio (reflecting the uncertainty in the equilibrium expected returns) plus a weighted sum of portfolios representing the investor’s views. The weight on a portfolio representing a view is positive when the view is more bullish than the one implied by the equilibrium and the other views. The weight increases as the investor becomes more bullish on the view, and the magnitude of the weight also increases as the investor becomes more confident about the view. 1 Introduction Since publication in 1990, the Black-Litterman asset allocation model has gained wide application in many financial institutions. As developed in the original paper, the Black-Litterman model provides the flexibility of combining the market equilibrium with additional market views of the investor. The Black-Litterman approach may be contrasted with the standard mean-variance optimization in which the user inputs a complete set of expected returns1 and the portfolio optimizer genera