Black-Litterman Model and Momentum Strategy: Evidence of Taiwan Top 50 ETF.

摘要: By following the approach of [12], we combine momentum strategy with Black-Litterman model in Taiwan Stock market, to compare portfolio performance component stocks ETF Top 50 (0050) its index performance. To test robustness our empirical results, also use different asset allocation strategies covering same periods sampled data. We find that by replacing investors’ views strategy, is capable delivering better than traditional global minimum variance whether returns or risks.