中国管理科学 ›› 2024, Vol. 32 ›› Issue (4): 1-13.doi: 10.16381/j.cnki.issn1003-207x.2021.0382cstr: 32146.14.j.cnki.issn1003-207x.2021.0382
• • 下一篇
收稿日期:
2021-02-26
修回日期:
2021-04-20
出版日期:
2024-04-25
发布日期:
2024-04-25
通讯作者:
周骐
E-mail:zhouqi@scut.edu.cn
基金资助:
Received:
2021-02-26
Revised:
2021-04-20
Online:
2024-04-25
Published:
2024-04-25
Contact:
Qi Zhou
E-mail:zhouqi@scut.edu.cn
摘要:
行业配置是投资组合中承上启下的重要环节之一。传统的行业配置模型忽略了行业网络的整体关联性。本文以行业配置中广泛应用的Black-Litterman(BL)模型为基础(以机器学习和时间序列模型的预测值为主观观点),结合复杂网络方法,提出了BL模型的图示化表达方式,证明了BL模型最优投资组合权重与行业网络特征向量中心度之间的二次关系并进行了实证分析。在此基础上,提出了BL+Network行业配置模型,综合考虑行业间的整体关联风险,然后确定各行业投资比例。该过程从行业配置层面完善了复杂网络方法在“自上而下”投资组合管理中的应用框架。从与传统资产配置模型的实证比较发现,BL+Network模型的行业配置在夏普比率和增益损失比等指标上均有明显提高,在特征向量中心度处于序列中位数附近的行业配比较高,但配置行业数量并非越少越好。本研究为资产配置的研究提供了新视角,拓展了BL模型的交叉应用边界,补充了复杂网络方法在投资组合管理中的应用。
中图分类号:
李仲飞,周骐. 一个基于BL模型和复杂网络的行业配置模型[J]. 中国管理科学, 2024, 32(4): 1-13.
Zhongfei Li,Qi Zhou. An Industry Allocation Model Based on BL Model and Complex Network[J]. Chinese Journal of Management Science, 2024, 32(4): 1-13.
表4
传统行业配置模型样本外收益率"
时间 | 1/N模型 | MV模型 | Min-V模型 | BL(GARCH)模型 | BL(MA)模型 | BL(SVM)模型 |
---|---|---|---|---|---|---|
2017-04 | -0.0351 | -0.09004 | -0.05681 | -0.0316 | -0.02336 | -0.02674 |
2017-05 | -0.0469 | -0.0509 | 0.068128 | -0.0428 | -0.01639 | -0.04011 |
2017-06 | 0.0432 | 0.050526 | 0.217576 | 0.0490 | 0.039031 | 0.047659 |
2017-07 | 0.0113 | 0.155548 | 0.076737 | 0.0276 | 0.028705 | 0.031279 |
2017-08 | 0.029 | 0.004552 | -0.04298 | 0.0313 | 0.038751 | 0.03283 |
2017-09 | 0.0142 | -0.1745 | 0.012375 | 0.0176 | 0.015803 | 0.01811 |
2017-10 | 0.004 | 0.083156 | 0.074148 | 0.0134 | 0.009781 | 0.008235 |
2017-11 | -0.0355 | -0.47025 | 0.083917 | -0.0340 | -0.03495 | -0.03299 |
2017-12 | -0.005 | -0.03433 | -0.04684 | -0.0023 | 0.000196 | -0.00133 |
2018-01 | 0.0105 | 0.100866 | 0.150276 | 0.0144 | 0.012852 | 0.012724 |
2018-02 | -0.0431 | -0.04685 | -0.04539 | -0.0436 | -0.0155 | -0.04014 |
2018-03 | -0.0307 | 0.04185 | -0.46597 | 0.0165 | 0.020901 | 0.0161 |
平均收益率 | -0.0070 | -0.03586 | 0.002098 | 0.0013 | 0.0063 | 0.0021 |
夏普比率 | -0.2314 | -0.2187 | 0.0123 | 0.0408 | 0.2581 | 0.0704 |
方差 | 0.000917 | 0.026894 | 0.02905 | 0.000998 | 0.000599 | 0.00092 |
表5
2017年4月—2018年3月样本外BL+Network行业配置模型的表现"
Strategy | Average Returns | Sharpe Ratio | Omega | Variance |
---|---|---|---|---|
Tradition | ||||
1/N | -0.00701 | -0.2314 | 0.5716 | 0.000917 |
BL(GARCH) | 0.001289629 | 0.0408 | 0.5239 | 0.000997594 |
BL(MA) | 0.006319 | 0.2581 | 1.8407 | 0.000599 |
BL(SVM) | 0.0021342 | 0.0704 | 0.5415 | 0.000919635 |
1/N+Network | ||||
1/N- MidC | 0.001721157 | 0.0564 | 1.1388 | 0.000930666 |
1/N- LowC | -0.008525509 | -0.3277 | 0.4288 | 0.000676746 |
1/N- HighC | -0.003056117 | -0.098 | 0.7768 | 0.000972405 |
1/N-HSR | -0.004946272 | -0.1792 | 0.5874 | 0.000802374 |
BL+Network | ||||
BL(GARCH )-MidC | 0.00518347 | 0.15 | 0.5925 | 0.001193866 |
BL(GARCH)- LowC | 0.004308787 | 0.0856 | 0.551 | 0.002531251 |
BL(GARCH) -HighC | -0.004333741 | -0.0723 | 0.4557 | 0.003595042 |
BL(GARCH)-HSR | 0.001305736 | 0.03056 | 0.4938 | 0.003078329 |
BL(MA)-MidC | 0.024765016 | 0.5466 | 4.2366 | 0.002052442 |
BL(MA)-LowC | 0.013375332 | 0.3654 | 0.7218 | 0.001340048 |
BL(MA)-HighC | 0.004961713 | 0.0978 | 0.5625 | 0.002572639 |
BL(MA)-HSR | 0.00812953 | 0.1972 | 0.6146 | 0.001973671 |
BL(SVM) -MidC | 0.004373806 | 0.1311 | 0.5818 | 0.001113676 |
BL(SVM)-LowC | 0.004095918 | 0.0871 | 0.5535 | 0.002212517 |
BL(SVM)-HighC | 6.70765E-05 | 0.001 | 0.5007 | 0.004228955 |
BL(SVM)-HSR | 0.001539855 | 0.0274 | 0.0516 | 0.002965301 |
表6
2017年4月—2018年3月样本外网络行业配置模型表现(缩小中间中心度行业个数)"
Strategy | Average Returns | Sharpe Ratio | Omega | Variance |
---|---|---|---|---|
Strategy of 1/N in Network | ||||
1/N-MidC-9 | 0.001721 | 0.0564 | 1.13884 | 0.000930666 |
1/N-MidC-7 | 0.005087 | 0.148 | 1.417339 | 0.001180472 |
1/N-MidC-5 | 0.00835 | 0.2065 | 1.656672 | 0.00163459 |
Strategy of BL in Network | ||||
BL(MA)-MidC-9 | 0.024765 | 0.5466 | 4.236592 | 0.002052442 |
BL(MA)-MidC-7 | 0.027959 | 0.64 | 6.103315 | 0.001908212 |
BL(MA)-MidC-5 | 0.020599 | 0.5177 | 4.726464 | 0.001584634 |
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