Risk Budgeting Approach using Black‐Litterman Model: Combining Investor Views With Market Equilibrium

서지정보

· 발행기관 : 글로벌경영학회
· 수록지 정보 : 글로벌경영학회지 / 17권 / 5호 / 88 ~ 114페이지
· 저자명 : 이홍재, 노현우, 김태석

초록

The purpose of this study is to derive an optimal portfolio that maximizes risk premium while achieving risk management‐based asset allocation results by applying the Black‐Litertman model that overcomes the limitations of the Markowitz model in allocating assets to the Risk Budget model. The Black‐Litterman and Risk Budget models used as analysis methods each form a portfolio based on expected return and risk contribution, and thus conflict with each other in the process of obtaining optimal weights. This was first confirmed by comparing the results produced by the Black‐Litterman model with the Risk Budget model. In addition, the optimal weights derived from the Black‐Litterman model were analyzed in a form that limits the maximum and minimum weights in the process of the Risk Budget optimization in order to minimize harm to the advantages of the Black‐Litterman model in the application of the risk budget. The data analysis period is used 10 index market indexes in order of α‐size of Jensen using KOSPI and KOSDAQ index data of KOSPI and KOSDAQ until 2015.1. ~2017.12. In this study, when the optimal portfolio weights derived from the Black‐Litterman model are concentrated in a small group of assets, the risk contribution of those asset groups is so high that the difference between the best weights presented by the Black‐Litterman model and the Risk Budget model is very large. Therefore, in order to balance the differences and to achieve the benefits of each model, the optimal weight for each group of assets derived by the Black‐Litterman model was taken to impose weight constraints (minimum and maximum) on each group of assets in the process of optimising the risk Budget. As a result, a new portfolio could be created that balances the risk‐budget within a given limit calculated for each group of assets without excessively reducing the weight of the group of assets with high risk contribution. This is a way to ensure that the benefits of the Black‐Litterman model are minimized due to the Risk Budget while allocating risk limits by asset group to asset allocation. As a limitation of the study, there is one that does not constrain performance when combining the Black‐Litterman model and the Risk Budget model. Therefore, later research projects require a comparative analysis of the performance of an optimal portfolio that constrains portfolio performance factors, such as tracking error or information rate, when the Black‐Litterman and Markowitz portfolios are merged with the Risk Budget models, respectively.

참고자료

· 없음