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블랙리터만 모형을 이용한 섹터지수 투자 전략Sector Investment Strategy with the Black-Litterman Model
- Other Titles
- Sector Investment Strategy with the Black-Litterman Model
- Issue Date
- 2012
- Publisher
- 한국경영과학회
- Keywords
- Black-Litterman Model; Sector Investment Strategy; Sector Rotation Momentum Strategy; Integer Programming; Portfolio Optimization
- Citation
- 경영과학, v.29, no.1, pp.57 - 71
- Indexed
- KCI
- Journal Title
- 경영과학
- Volume
- 29
- Number
- 1
- Start Page
- 57
- End Page
- 71
- ISSN
- 1225-1100
- Abstract
- In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of mean-variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.
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