Optimizing asset management portfolio performance in the Chinese stock markets using the black-litterman model

Xingmei Jin

Date of Publication

2014

Document Type

Master's Thesis

Degree Name

Master of Science in Financial Engineering

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Tomas S. Tiu

Abstract/Summary

This thesis tries to develop a Black-Litterman model for portfolio and asset managers to yield a higher return than the MV model for the Chinese Stock Market and aim to find the optimal asset portfolio management model by using the new Black-Litterman model in Chinese stock market. The generated Black-Litterman model incorporate stocks expected returns, which is derived from ARMA model, into investor views as one of the input variable of the Black-Litterman model. Portfolios of 41 Chinese dual listed companies used in this research was selected from the constituent stocks of the Shanghai & Shenzhen 300 Index, which has dual listed A and B shares, or A and H shares. Mean-Variance model will also be employed for comparison purposes. The benchmark comparison is the expected return of the Shanghai & Shenzhen 300 Index. Apart of that, restricted and unrestricted versions are used for the comparisons. Based on the consideration of diversification and the implementation in the practice, the researcher found the Black-Litterman model can yield higher returns than the MV model, although the underperformance also appeared in the results.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTG005781

Shelf Location

Archives, The Learning Commons, 12F Henry Sy Sr. Hall

Physical Description

1 computer optical disc ; 4 3/4 in.

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