金融工程研究培训

• The Black-Litterman model (BL model) is used for asset allocation, combining investor views with market equilibrium[17][20] - The construction process of the BL model involves adjusting the expected returns based on investor views and then optimizing the portfolio using mean-variance optimization[17][20] - The Risk Parity model aims to allocate risk equally across all assets in a portfolio, rather than allocating capital equally[27][30] - The construction process of the Risk Parity model involves calculating the risk contribution of each asset and solving an optimization problem to equalize these contributions[28][29][30] - The Counter-Cyclical Allocation model adjusts asset allocation based on economic cycles, aiming to reduce risk during downturns and increase exposure during upturns[11][43] - The Macro Momentum Timing model uses macroeconomic indicators to time market entries and exits, aiming to capture trends and avoid downturns[11][60] - The Sentiment Timing model uses investor sentiment indicators to time market entries and exits, aiming to capitalize on market overreactions[67] Model Performance Metrics - Black-Litterman Model: Annualized return 6.58%, maximum drawdown 3.18%, annualized volatility 2.15%, Sharpe ratio 1.86, Calmar ratio 2.07[22][24] - Risk Parity Model: Annualized return 6.07%, maximum drawdown 3.78%, annualized volatility 2.26%, Sharpe ratio 1.58, Calmar ratio 1.61[31] - Counter-Cyclical Allocation Model: Annualized return 7.36%, maximum drawdown 8.85%, annualized volatility 6.12%, Sharpe ratio 1.13, Calmar ratio 0.85[43][47] - Macro Momentum Timing Model: Annualized return 7.06%, maximum drawdown 6.60%, annualized volatility 6.06%, Sharpe ratio 1.13, Calmar ratio 1.97[60] - Sentiment Timing Model: Annualized return 7.74%, maximum drawdown 24.91%, annualized volatility 17.49%, Sharpe ratio 1.01, Calmar ratio 0.62[67][87]