{"id":760,"date":"2018-01-31T14:47:00","date_gmt":"2018-01-31T06:47:00","guid":{"rendered":"https:\/\/blog.roboadvisor.com.tw\/?p=760"},"modified":"2018-01-31T14:47:00","modified_gmt":"2018-01-31T06:47:00","slug":"%e9%80%a3%e6%8a%95%e8%b3%87%e6%a9%9f%e6%a7%8b%e6%b3%95%e4%ba%ba%e4%b9%9f%e6%84%9b%e7%94%a8%e7%9a%84%e3%80%8c-%e8%b3%87%e7%94%a2%e9%85%8d%e7%bd%ae-%e3%80%8d%e6%a8%a1%e5%bc%8f%ef%bc%81","status":"publish","type":"post","link":"https:\/\/blog.roboadvisor.com.tw\/?p=760","title":{"rendered":"Black-Litterman\u6a21\u578b\u662f\u4ec0\u9ebc\uff1f\u6a5f\u5668\u4eba\u7406\u8ca1\u65b0\u4e16\u4ee3\u8cc7\u7522\u914d\u7f6e"},"content":{"rendered":"\n<p>\u5728\u6211\u5011\u5148\u524d\u7684\u6587\u7ae0\u4e2d\uff08\uff1c<a href=\"https:\/\/blog.roboadvisor.com.tw\/?p=649\">\u4e0d\u7528\u518d\u770b\u8001\u516c\u81c9\u8272\uff01\u9760\u300c\u5b83\u300d\u5c31\u80fd\u8f15\u9b06\u7406\u8ca1<\/a>\uff1e\u3001\uff1c<a href=\"https:\/\/blog.roboadvisor.com.tw\/?p=649\">\u77ad\u89e3\u4e00\u500b\u5e02\u5834\u4e26\u4e0d\u4fdd\u8b49\u4f60\u5c31\u80fd \u6295\u8cc7 \u7372\u5229<\/a>\uff1e\uff09\u5c31\u4e00\u76f4\u52aa\u529b\u5f37\u8abf\uff0c\u6295\u8cc7\u7684\u9996\u8981\u689d\u4ef6\u662f\uff0c\u8981\u5efa\u7acb\u597d\u4f60\u7684 \u8cc7\u7522\u914d\u7f6e \uff0c \u8cc7\u7522\u914d\u7f6e \u662f\u5f71\u97ff\u6295\u8cc7\u5831\u916c\u7684\u91cd\u8981\u56e0\u7d20(\u5982\u5716\u4e00)\uff0c\u81f3\u65bc\u5230\u5e95\u8a72\u5982\u4f55\u898f\u5283 \u8cc7\u7522\u914d\u7f6e \uff0c\u4e26\u5efa\u7acb\u5408\u9069\u7684\u6295\u8cc7\u7d44\u5408\uff0c\u751a\u81f3\u4f7f\u5176\u80fd\u56e0\u61c9\u5e02\u5834\u7684\u672a\u4f86\u767c\u5c55\u5462\uff1f\u904b\u7528Black-Litterman\u6a21\u578b\uff0c\u4fbf\u662f\u4e00\u500b\u5f88\u597d\u7684\u65b9\u6cd5\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image aligncenter size-full\"><img loading=\"lazy\" decoding=\"async\" width=\"731\" height=\"303\" src=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-1-1.png\" alt=\"\" class=\"wp-image-761\" srcset=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-1-1.png 731w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-1-1-300x124.png 300w\" sizes=\"auto, (max-width: 731px) 100vw, 731px\" \/><figcaption class=\"wp-element-caption\"><strong>\u5716\u4e00 \u5f71\u97ff\u6295\u8cc7\u5831\u916c\u7684\u56e0\u7d20<\/strong><br \/>\u8cc7\u6599\u4f86\u6e90\uff1a\u7531Brinson\u3001Beebower\u548cSinger\u7b49\u4eba\u65bcFinancial Analysts Journal, 47(3), 1991\u6240\u767c\u8868\u4e4b\u7814\u7a76\u5831\u544a<\/figcaption><\/figure>\n\n\n\n<p>\u5728\u4ecb\u7d39Black-Litterman\u6a21\u578b\u4e4b\u524d\uff0c\u5148\u8aaa\u8aaa\u6bd4\u8f03\u5e38\u898b\u7684 \u8cc7\u7522\u914d\u7f6e \u65b9\u5f0f\u3002<\/p>\n\n\n\n<p><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-palette-color-2-color\">\u898f\u5283 \u8cc7\u7522\u914d\u7f6e \u6642\uff0c\u5229\u7528\u6b77\u53f2\u5831\u916c\u56de\u6e2c\u662f\u5f88\u5e38\u898b\u7684\u4e00\u7a2e\u65b9\u6cd5\uff0c\u4f46\u662f\u5728\u91d1\u878d\u5e02\u5834\u4e2d\uff0c\u6211\u5011\u90fd\u77e5\u9053\uff0c\u73fe\u5728\u8868\u73fe\u597d\uff0c\u4e26\u4e0d\u6703\u4ee3\u8868\u672a\u4f86\u4e00\u5b9a\u4e00\u6a23\u597d<\/mark>\uff0c\u5c31\u62ff\u91d1\u878d\u5e02\u5834\u4e2d\u5360\u6709\u7387\u6700\u5927\u7684\u8cc7\u7522\uff0c\u80a1\u7968\u53ca\u50b5\u5238\u4f86\u8209\u4f8b\uff0c\u5728<strong>\u80a1\u7968\u5e02\u5834<\/strong>\uff0c\u5f9e\u904e\u53bb1899\u52302014\u5e74\u7684\u6578\u64da\u7814\u7a76\uff08\u5716\u4e8c\uff09\uff0c\u5e2d\u52d2\u672c\u76ca\u6bd4\uff08CAPE ratio\uff09\u6108\u9ad8\u7684\u80a1\u7968\uff0c\u672a\u4f86\u6295\u8cc7\u5831\u916c\u7387\u537b\u6108\u4f4e\uff0c\u800c\u5e2d\u52d2\u672c\u76ca\u6bd4\u6108\u4f4e\u7684\u80a1\u7968\uff0c\u672a\u4f86\u6295\u8cc7\u5831\u916c\u7387\u537b\u6108\u9ad8\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" width=\"658\" height=\"335\" src=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-2.png\" alt=\"\" class=\"wp-image-762\" srcset=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-2.png 658w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-2-300x153.png 300w\" sizes=\"auto, (max-width: 658px) 100vw, 658px\" \/><figcaption class=\"wp-element-caption\"><strong>\u5716\u4e8c CAPE ratio\u53ca\u672a\u4f86\u5831\u916c\u95dc\u4fc2\u8868<\/strong><br \/>\u8cc7\u6599\u4f86\u6e90\uff1a<a href=\"http:\/\/econompicdata.blogspot.tw\/2015\/11\/valuations-do-matter-even-over-shorter.html\">econompicdata<\/a><\/figcaption><\/figure>\n\n\n\n<p><strong>\u50b5\u5238\u5e02\u5834<\/strong>\u5462\uff1f\u5982\u4e0b\u5716\u4e09\uff0c\u5206\u6790\u4e86\u5f9e\u904e\u53bb1976\u52302010\u5e74\u7684\u60c5\u5f62\uff0c\u53ef\u4ee5\u767c\u73fe\u7576\u6295\u8cc7\u6642\u7684\u50b5\u5238\u6b96\u5229\u7387\u6108\u4f4e\u6642\uff0c\u672a\u4f86\u4e94\u5e74\u7684\u6295\u8cc7\u5831\u916c\u7387\u5c31\u6108\u4f4e\uff1b\u53cd\u4e4b\uff0c\u7576\u6295\u8cc7\u6642\u7684\u50b5\u5238\u6b96\u5229\u7387\u6108\u9ad8\u6642\uff0c\u672a\u4f86\u4e94\u5e74\u7684\u6295\u8cc7\u5831\u916c\u7387\u6703\u6108\u9ad8\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" width=\"1042\" height=\"616\" src=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-3.png\" alt=\"\" class=\"wp-image-763\" srcset=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-3.png 1042w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-3-300x177.png 300w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-3-1024x605.png 1024w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-3-768x454.png 768w\" sizes=\"auto, (max-width: 1042px) 100vw, 1042px\" \/><figcaption class=\"wp-element-caption\"><strong>\u5716\u4e09 \u50b5\u5238\u6b96\u5229\u7387\u8207\u672a\u4f86\u5831\u916c\u7387\u95dc\u4fc2\u5716<\/strong><br \/>\u8cc7\u6599\u4f86\u6e90\uff1a<a href=\"https:\/\/pensionpartners.com\/the-single-best-predictor-of-bond-returns\/\">Pension Partners<\/a><\/figcaption><\/figure>\n\n\n\n<p>\u986f\u7136\u5728\u898f\u5283 \u8cc7\u7522\u914d\u7f6e \u6642\uff0c\u50c5\u55ae\u7d14\u5229\u7528\u6b77\u53f2\u5831\u916c\u56de\u6e2c\uff0c\u5b58\u5728\u8457\u4e00\u4e9b\u7591\u616e\uff0c\u5f88\u6709\u53ef\u80fd\u4f7f\u5f97 \u8cc7\u7522\u914d\u7f6e \u7684\u6bd4\u4f8b\u51fa\u932f\uff0c\u56e0\u6b64\uff0c\u9078\u64c7\u5229\u7528\u80fd\u540c\u6642\u56de\u6e2c\u6b77\u53f2\uff0c\u53c8\u80fd\u8003\u91cf\u672a\u4f86\u7684Black-Litterman\u6a21\u578b\uff0c\u662f\u6bd4\u8f03\u5408\u9069\u7684\u65b9\u6cd5\u3002<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<h2 class=\"wp-block-heading\">Black-Litterman\u6a21\u578b\u662f\u4ec0\u9ebc\uff1f<\/h2>\n\n\n\n<p>\u76ee\u524d\u9019\u500b\u6a21\u578b\u5728\u5927\u578b\u6295\u8cc7\u6a5f\u69cb\u6cd5\u4eba\uff08\u5982\u9ad8\u76db\u6295\u8cc7\u6a5f\u69cb\uff09\u88ab\u5ee3\u6cdb\u4f7f\u7528\uff0cBlack-Litterman\u6a21\u578b\u662f\u7531\u5169\u4f4d\u7d93\u6fdf\u5b78\u8005Fischer Black\u53caRobert Litterman\u6240\u63d0\u51fa\u7684\uff0c\u4e3b\u8981\u7d50\u5408\u4e86\u99ac\u53ef\u7dad\u8332(Markowitz)\u7684\u6548\u7387\u524d\u7de3\u4ee5\u53ca\u8cc7\u672c\u8cc7\u7522\u5b9a\u50f9\u6a21\u578b(CAPM)\u5169\u5927\u73fe\u4ee3\u6295\u8cc7\u7d44\u5408\u7406\u8ad6\uff0c\u5275\u65b0\u800c\u6210\u7684\u6f14\u7b97\u6a21\u578b\u3002<\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<h2 class=\"wp-block-heading\">Black-Litterman\u6a21\u578b\u7684\u512a\u52e2<\/h2>\n\n\n\n<p>\u5728\u8b8a\u5e7b\u83ab\u6e2c\u7684\u91d1\u878d\u5e02\u5834\u4e2d\uff0c\u6b77\u53f2\u7684\u5831\u916c\u7d55\u5c0d\u4e0d\u6703\u7b49\u65bc\u672a\u4f86\u7684\u5e02\u5834\u8da8\u52e2\uff0c\u56e0\u6b64\uff0c\u50c5\u55ae\u7d14\u5229\u7528\u6b77\u53f2\u8cc7\u6599\u56de\u6e2c\u7684\u7d50\u679c\uff0c\u4f86\u5efa\u7acb\u6295\u8cc7\u7d44\u5408\u662f\u4e0d\u592a\u6b63\u78ba\u7684\u505a\u6cd5\u3002<\/p>\n\n\n\n<p>Black-Litterman\u6a21\u578b\u4e0d\u50c5\u5229\u7528\u6b77\u53f2\u5831\u916c\u7684\u56de\u6e2c\u65b9\u6cd5\uff0c\u9084\u52a0\u5165\u4e86\u53ef\u4ee5\u5c0d\u672a\u4f86\u5e02\u5834\u9810\u671f\uff0c\u4e5f\u5c31\u662f\u8aaa\uff0c\u53ef\u4ee5\u4f9d\u7167\u7814\u7a76\u5206\u6790\u5e2b\u5c0d\u672a\u4f86\u5e02\u5834\u52d5\u5411\u7684\u89c0\u9ede\uff0c\u4e26\u642d\u914d\u5c0d\u9019\u89c0\u9ede\u7684\u4fe1\u5fc3\u6c34\u6e96\uff0c\u9032\u800c\u5c0d\u9810\u671f\u5831\u916c\u7387\u9032\u884c\u8abf\u6574\uff0c\u4fee\u6b63\u6b77\u53f2\u5831\u916c\u56de\u6e2c\u7684\u7d50\u679c\u3002<\/p>\n\n\n\n<p>\u9019\u4e5f\u662f\u70ba\u4ec0\u9ebcBlack-Litterman\u6a21\u578b\u662f\u76ee\u524d\u5927\u578b\u6295\u8cc7\u6a5f\u69cb\u6cd5\u4eba\u5728\u5efa\u7acb \u8cc7\u7522\u914d\u7f6e \u6642\u6240\u904b\u7528\u7684\u65b9\u6cd5\uff0c\u5982\u4e0b\u5716\u56db\u6240\u793a\uff0c\u56e0\u70ba\u9019\u6a23\u7684\u6a21\u578b\u4e0d\u50c5\u5229\u7528<strong>\u6b77\u53f2\u6578\u64da\u6f14\u7b97<\/strong>\uff08\u6b77\u53f2\u6578\u64da\u56de\u6e2c\uff09\uff0c\u9084\u80fd\u52a0\u5165\u5c0d<strong>\u672a\u4f86\u7684\u9810\u671f<\/strong>\uff08\u689d\u4ef6\u6a5f\u7387\u5206\u914d\uff09\uff0c\u4f7f\u6295\u8cc7\u7d44\u5408<strong>\u66f4\u80fd\u7b26\u5408\u672a\u4f86\u53ef\u80fd\u7684\u5e02\u5834\u52d5\u5411<\/strong>\uff08\u66f4\u65b0\u5f8c\u7684\u672a\u4f86\u9810\u6e2c\uff09\uff0c \u8cc7\u7522\u914d\u7f6e \u8b8a\u5f97\u66f4\u52a0\u7a69\u5065\uff0c\u9054\u5230\u6700\u9069\u7684\u6295\u8cc7\u7b56\u7565\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" width=\"889\" height=\"587\" src=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-4.png\" alt=\"\" class=\"wp-image-764\" srcset=\"https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-4.png 889w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-4-300x198.png 300w, https:\/\/blog.roboadvisor.com.tw\/wp-content\/uploads\/2022\/03\/PIC1-4-768x507.png 768w\" sizes=\"auto, (max-width: 889px) 100vw, 889px\" \/><figcaption class=\"wp-element-caption\"><strong>\u5716\u56db Black-Litterman\u6a21\u578b\u6982\u5ff5\u793a\u610f\u5716<\/strong><\/figcaption><\/figure>\n\n\n\n<p>\u963f\u723e\u767c\u6a5f\u5668\u4eba\u7406\u8ca1\u4ea6\u904b\u7528Black-Litterman\u6a21\u578b\uff0c<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-palette-color-2-color\">\u5e0c\u671b\u80fd\u5e36\u7d66\u66f4\u591a\u6295\u8cc7\u8005<strong>\u9019\u7a2e\u5927\u578b\u6295\u8cc7\u6a5f\u69cb\u6cd5\u4eba\u7b49\u7d1a\u6240\u63a1\u7528<\/strong>\u7684 \u8cc7\u7522\u914d\u7f6e \u6a21\u5f0f<\/mark>\uff0c\u4e0d\u50c5\u50c5\u53ea\u6709\u7c21\u55ae\u7684\u5229\u7528\u6b77\u53f2\u6578\u64da\u56de\u6e2c\uff0c\u66f4\u7a4d\u6975\u7684\u8ffd\u8e64\u5e02\u5834\u672a\u4f86\u52d5\u5411\u4e4b\u76f8\u95dc\u7814\u7a76\uff0c\u5c0d\u672a\u4f86\u7684\u9810\u671f\u904b\u7528\u65bc \u8cc7\u7522\u914d\u7f6e \u7684\u898f\u5283\u4e2d\u3002<\/p>\n\n\n\n<p>\u5728\u963f\u723e\u767c\u6a5f\u5668\u4eba\u7406\u8ca1\u7684\u5b97\u65e8\uff1a\u300c\u4f7f\u4eba\u4eba\u90fd\u80fd\u85c9\u7531\u6a5f\u5668\u4eba\u7406\u8ca1\u4eab\u6709\u8ca1\u5bcc\u7ba1\u7406\u7684\u670d\u52d9\u300d\u4e4b\u4e0b\uff0c\u5c07\u4ee5\u5f80\u53ea\u6709\u5927\u578b\u6295\u8cc7\u6a5f\u69cb\u6cd5\u4eba\u624d\u80fd\u4eab\u53d7\u5230\u7684\u5404\u7a2e\u6295\u8cc7\u65b9\u5f0f\u5e36\u7d66\u66f4\u591a\u4eba\uff0c\u4e14\u5229\u7528\u597d\u7684\u6295\u8cc7\u89c0\u5ff5\uff0c\u898f\u5283\u59a5\u5584\u7684 \u8cc7\u7522\u914d\u7f6e \uff0c\u4ee5\u53ca\u5efa\u7acb\u5408\u9069\u7684\u6295\u8cc7\u7d44\u5408\uff0c\u8b93\u6295\u8cc7\u8005\u9054\u5230\u66f4\u597d\u7684\u6295\u8cc7\u76ee\u6a19\u3002<\/p>\n\n\n","protected":false},"excerpt":{"rendered":"<p>\u5728\u6211\u5011\u5148\u524d\u7684\u6587\u7ae0\u4e2d\uff08\uff1c\u4e0d\u7528\u518d\u770b\u8001\u516c\u81c9\u8272\uff01\u9760\u300c\u5b83\u300d\u5c31\u80fd\u8f15\u9b06\u7406\u8ca1\uff1e\u3001\uff1c\u77ad\u89e3\u4e00\u500b\u5e02\u5834\u4e26\u4e0d\u4fdd\u8b49\u4f60\u5c31\u80fd \u6295\u8cc7 \u7372\u5229\uff1e\uff09\u5c31 [&hellip;]<\/p>\n","protected":false},"author":2,"featured_media":765,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[29],"tags":[46,451],"class_list":["post-760","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-29","tag-black-litterman","tag-451"],"blocksy_meta":{"styles_descriptor":{"styles":{"desktop":"","tablet":"","mobile":""},"google_fonts":[],"version":6}},"_links":{"self":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts\/760","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=760"}],"version-history":[{"count":0,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/posts\/760\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=\/wp\/v2\/media\/765"}],"wp:attachment":[{"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=760"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=760"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.roboadvisor.com.tw\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=760"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}