Journal of International Financial Markets, Institutions & Money ( IF 4.217 ) Pub Date : 2024-01-22 , DOI: 10.1016/j.intfin.2024.101949 Hyungjin Ko , Bumho Son , Jaewook Lee
We propose a novel portfolio model integrating the Fama–French three-factor model into the Black–Litterman framework, enabling efficient investment strategies. The model surpasses traditional benchmarks, significantly increasing alpha, minimizing estimation error, and improving diversification. Performance improvements are shown by a tripled Sharpe ratio and doubled Certainty Equivalent Return compared to standard models. It maintains stability across different parameters and economic climates, leveraging improved weight adjustment to reduce estimation errors and withstand market volatility. It provides a new perspective for portfolio construction, leveraging long-term insights from asset pricing theory with significant implications.
中文翻译:
Fama-French 和 Black-Litterman 模型的新颖整合可增强投资组合管理
我们提出了一种新颖的投资组合模型,将 Fama-French 三因素模型整合到 Black-Litterman 框架中,从而实现高效的投资策略。该模型超越了传统基准,显着提高了 alpha,最大限度地减少了估计误差,并提高了多样化。与标准模型相比,夏普比率增加了三倍,确定性等效回报增加了一倍,这表明了性能的改进。它在不同参数和经济气候下保持稳定性,利用改进的权重调整来减少估计错误并抵御市场波动。它利用具有重大影响的资产定价理论的长期见解,为投资组合构建提供了新的视角。