Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Sector Investment Strategy with the Black-Litterman Model

블랙리터만 모형을 이용한 섹터지수 투자 전략

  • 송정민 (고려대학교 정보경영공학전문대학원) ;
  • 이영호 (고려대학교 산업경영공학부) ;
  • 박기경 (고려대학교 정보경영공학전문대학원)
  • Received : 2011.11.01
  • Accepted : 2012.01.10
  • Published : 2012.03.31
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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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References

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