| The Performance Comparison between the Black-Litterman Mean-Variance and Copula-Opinion-Pooling Model |
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Jae Jin Park |
| Black-Litterman MV와 COP 모형의 투자성과 비교 |
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박재진 |
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| Abstract |
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The purpose of this paper is to compare the performance of the Black-Litterman Mean-Variance model with that of the Black-Litterman Copula-Opinion-Pooling model which is based on the Mean-CVaR portfolio optimization, using the portfolio of US government treasuries and US Dow Jones Industrial Index during from January 2002 to December 2011. Without considering the transaction cost, the performance analysis reveals that the BLMV performance is superior to the BLCOP performance in terms of risk-adjusted returns. In addition, after the return sensitivity analysis of those two models using the 1%, 10%, 50% expansion of the forecasted portfolio asset returns, the findings are followed. The BLMV model shows that the portfolio return has been substantially dropped and the portfolio risk has been rapidly heightened so that the risk-adjusted return of the portfolio has been remarkably decreased. However, the BLCOP model shows that in spite of the decrease in the portfolio return, the portfolio risk has been also dropped a lot so that the risk-adjusted portfolio return has been almost unchanged. As the final result considering the performance change in the models, the BLMV model shows the better performance than that of the BLCOP model. On the other hand, after taking consideration of the transaction costs caused by the change in the monthly portfolio positions followed by the monthly optimal portfolios estimated by those two models, it is discovered that they give birth to the tiny fall in the investment performance. Therefore, the BLMV model still shows the considerably better performance than that of the BLCOP model. |
| Key Words:
블랙리터만 평균-분산 모형,블랙리터만 평균-CVaR 모형,수익률 민감도 분석,투자성과분석,포트폴리오 최적화,Black-Litterman Copula-Opinion-Pooling Model,Black-Litterman Mean-Variance model,Portfolio Optimization,Portfolio Performance,Sensitivity Analysis |
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