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研究生:丁明珍
研究生(外文):Oyungerel Damdin
論文名稱(外文):APPLYING BLACK-LITTERMAN MODEL ON THE MONGOLIAN STOCK MARKET
指導教授:蔡輝煌蔡輝煌引用關係
口試委員:何柏欣吳唯華蔡輝煌
口試日期:2014-06-12
學位類別:碩士
校院名稱:國立聯合大學
系所名稱:管理碩士學位學程
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:英文
論文頁數:47
外文關鍵詞:BLACK-LITTERMAN MODELSTOCK MARKETMONGOLIAN
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In the thesis I present the problem of portfolio optimization under investment and consider the applicability of the Black-Litterman portfolio allocation model on the Mongolian stock market for the time period of last 5 years.
The purpose of this study is to clarify the implementation of the Black-Litterman (1992) model and application in practice. The calibration of the model parameters and implementation of the model were done using Excel spreadsheets.
Validation of the model is done shown by using the stocks monthly trading data, in which I use a famous of 6 stocks out of the MSE TOP-20 benchmark stocks listed at the Mongolian Stock Exchange.
Finally, the performance of this model compared Capital Asset Pricing Model (CAPM) is also displayed in this study.

ACKNOWLEDGEMENT I
ABSTRACT II
LIST OF FIGURES V
LIST OF TABLES VI
1. INTRODUCTION 1
1.1. Background 1
1.2. Aim and purpose 2
1.3. Problem discussion 2
1.4. Disposition 3
2. LITERATURE REVIEW 4
3. THEORETICAL FRAMEWORK 6
3.1. Markowitz Mean-Variance (M-V) optimization 6
3.2. The Capital Asset Pricing Model (CAPM) 8
3.3. A Modern Portfolio Theory (MPT) 10
3.4. The Bayesian approach 11
4. THE BLACK-LITTERMAN MODEL 14
4.1. The Black-Litterman formula 14
4.2. The explanation model 14
4.3. The Benchmark 19
4.4. Previous and ongoing research 20
5. ANALYSIS 22
5.1. Data 22
5.2. The results of the BL model implementation 23
6. CONCLUSION 29
REFERENCES 30
APPENDIX A: TABLES OF BL MODEL ESTIMATION 31


1.Goufu Zhou, 2009, Beyond Black-Litterman: “Letting the Data speak”, The Journal of Portfolio Management 2009.36.1:36-45
2.Guangliang He, Robert Litterman, “The intuition behind Black-Litterman model portfolios”
3.Alexandre, S. Da Silva, Wai Lee and Bobby Pornrojnangkool, 2009, The Journal of Portfolio Management: “The Black–Litterman Model for Active Portfolio Management”, winter 2009, Vol. 35 Issue 2, p61-70
4.Litterman R, 2003, Modern investment management: “An equilibrium approach” (Goldman Sachs, Wiley)
5.Carl-Johan Arestad, Johan Rahmqvist, 2012, Lund University, Student database: “Applying Black-Litterman model on the Swedish Stock Market”
6.Tomas M. Idzorek, Jul, 20, 2004, “A step-by-step guide to the Black-Litterman model”,http://datalab.morningstar.com/knowledgebase/aspx/files/Step_by_Step_Guide_to_the_Black_Litterman_Model.pdf
7.Erik Nordin, August, 2012, Portfolio optimization: “An evolution of the Black-Litterman Approach”
8.Abhijit Ravipati, 2012, A thesis submitted to the Graduate School-New Brunswick Rutgers, The State University of New Jersey in partial fulfillment of the requirements for the degree of Master of Science, “Markowitz’s portfolio selection model and related problems”
9.Bodie, Kane and Markus, 2011, Investment and Portfolio Management: “The Black-Litterman model”, 27.3, p965-971
10.Mark J.Anson, Frank J.Fabozzi and Frank J.Jones, 2011, The Handbook of Traditional and Alternative Investment Vihicles: “Beta and Alpha dreivers”, Chapter 1, p15-16.
11.Antti Ilmanen, 2011, Expected Returns: “Stocks”, 3.1, p39-43.
12.Frank J.Fabozzi, Harry M.Markowitz, Editors, 2011, Second edition, The Theory and Practice of Investment management: “Portfolio Diversification”, Chapter 3, p56-60.

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