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96年6月20日(三) 11:00 ~12:00 A.M.

演講者姓名： 陳琪龍博士
演講者服務單位： 銘傳大學財務金融學系
演講題目： Bayesian Approach to Asset Allocation: A Case of Taiwan Stock Market

摘要： How to account for estimation risk is crucial in asset allocation.It has long been recognized that estimation error in the mean of return has larger impact on asset allocation than in the covariance of return.Black and Litterman (1992) use a simple asset pricing model, combined with investor’s subjective views of the market, to generate a better estimate of the mean return.The optimal weights of the portfolio will deviate from the market weights when the investor’s views are different from those implicitly from the market.This study applies the BL model to 19 sector returns of Taiwan stock market to see if there is any potential benefit compared with the traditional Markowitz mean-variance framework.

Key Words:Bayesian Analysis, Estimation Risk, Asset Allocation