?????????¹å·®æ¨¡å?????°ä»£??èµ?ç»?????论ç???ºç?³ï???lack-Litterman模å?????ºç???1952å¹?arry Markowitz???ºä??????????????¹å·®æ¨¡å????ï¼?Mean-Variance Modelï¼?ï¼?ç»??ºä??»ç?»é????¶ç????é£??©ç??ä¸?å¥???å¼?ï¼?å¼??????????ç½??¶ä»£??MVO模å???¨ç??论ä??·æ??å¼????§æ??ä¹?ï¼?ä½??¨å?践中???°ä?诸å??????BL模å??å¯?VO模å??è¿?è¡??¹è?ï¼????¨è??¶æ????论å?主è?è§??¹ä???????ç½?¨¡?????ºç???èµ·æ?¥ã??

????Black-Litterman模å????å®??°è?ç¨?主è???为å??æ­¥ã??ï¼?1ï¼???è¿?????ä¼???ä»?å¸??ºå??è¡¡æ?¡ä»¶?ºå??å¾??°å?³ä?èµ?产é????¶ç??????éª?ä¼°è?ï¼?ï¼?2ï¼?å°???èµ?????主è?è§??¹ä?为æ?°ç??ä¿¡æ???计ç?è§??¹å??å¸?ï¼?ï¼?3ï¼?å°???éª??¶ç????å¸???主è?è§??¹å??å¸?ç»???ï¼?使ç?¨è??¶æ???¹æ?计ç?å¾??°è?产é????¶ç??????éª?ä¼°è?ï¼?ï¼?4ï¼?å°???éª??¶ç??????éª????¹å·®?©é?µè??¥å?????¹å·®æ¨¡å??ä¸??è¡?ä¼???æ±?解ï?å¾??°å?·ä???èµ?产é??ç½????????¶ä¸­ï¼?å¸??ºå??è¡¡æ?¶ç??????éª???å¸???计ç??????¹ï????°è?ç½????????§ã??主è?è§??¹ç??é¢?æµ???ç¡??§æ??¨¡?????????³é????

????BL模å???????´ä?ä¼?äº?MVO模å?????ºå?æ¯?ä¾?模å????为ä?讲解模å????使ç?¨å??ç¼?ç¨?å®??°ï???ä»??èµ?产ä?ä¸????¶ç????ä½?为主è§?è§??¹ï?使ç??L模å????建ä?ä¸?????????¨ä????ºæ????产å????èµ?产é??ç½???¥ã??ç­??¥ä?绩æ?è¾??ºå??设å?ä¸?0ï¼??¡ç¥¨+80ï¼??ºå??10ï¼??????????²å??æµ????°ï?ç»?å®??????°å???¼å??çºþ=???¡ä»¶ä¸?ï¼?2012年以??L模å??ç­?????å¹´å???¶ç??ä¸?.58ï¼?ï¼???大å???¤ä¸º3.13ï¼?ï¼??¶ç?????¤æ?ä¸?.1ï¼????¾ä?äº????¼æ?¹å·®?ºå??ç­??¥ï?å¹´å???¶ç??5.82ï¼?????大å????.86ï¼????¶ç?????¤æ?1.51ï¼????ºå??????ºå??ç­??¥ï?å¹´å???¶ç??5.41ï¼?????大å????.55ï¼????¶ç?????¤æ?1.52ï¼???

????é£??©æ??示ï?é»?天é?äº?件ç????½å??´å¤§ç±»è?产ç?¸å?³æ?§å???ï¼?èµ?产é??ç½????表ç?°ä?ä½³ï?????模å???ºä????²æ?°æ????建ï??????²è?å¾?å­??¨å¤±??é£??©ï?å¸??ºæ???µä?满足模å????设ï?模å??å­??¨å¤±??é£??©ã??