Black-Litterman asset allocation model based on principal component analysis (PCA) under uncertainty

作者：Lei, Ding^*

来源：Cluster Computing, 2019, 22(2): S4299-S4306.

DOI：10.1007/s10586-018-1864-1

• Black-Litterman model
• Uncertainty
• Principal component analysis (PCA)
• Asset allocation

In order to improve the prediction accuracy of asset allocation model, the Black-Litterman (BL) asset allocation model based on principal component analysis (PCA) under uncertainty is proposed in the thesis. Firstly, the main idea and calculative process of BL model are introduced, and the BL model formula under uncertainty is inferred, then the BL model principle and main steps under uncertainty are provided; secondly, the BL model is subject to the comprehensive evaluation through the introduction of PCA, and the model coefficients of BL model PCA is subject to the assignment through analytic hierarchy process so as to improve the prediction accuracy of the asset allocation model; finally, the effectiveness of the algorithm mentioned is verified based on the positive analysis on data of Shanghai and Shenzhen 300 indexes and Shanghai and Shenzhen industry indexes.

• 出版日期2019-3
• 单位哈尔滨师范大学