Title :
The study of Black-Litterman-Inflation asset allocation model
Author :
Wang, Xiaoping ; Qu, Baozhong
Author_Institution :
Glorius Sun Sch. of Bus. & Manage., Donghua Univ., Shanghai, China
Abstract :
The Black-Litterman model is inadequate in measuring risks of investment products. The author makes changes for the original model based on inflation, and make a new model named Black-Litterman-Inflation model. By mathematical test, the author proves that the Black-Litterman-Inflation model is more reasonable in asset allocation for fighting against inflation than the Black-Litterman model. Besides, the author also proves that investors have different expected return for the investment products which have different sensitivity of inflation risk.
Keywords :
inflation (monetary); investment; risk management; Black-Litterman-Inflation model; asset allocation; inflation risk; investment product risks; Equations; Investments; Mathematical model; Predictive models; Resource management; Sensitivity; Black-Litterman model; Black-Litterman-Inflation model; inflation;
Conference_Titel :
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location :
Deng Leng
Print_ISBN :
978-1-4577-0535-9
DOI :
10.1109/AIMSEC.2011.6010725
