The study of mixed assets allocation based on Black–Litterman model

Jianwu Lin, Mengwei Tang, Jiachang Wang () and Ping He ()
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Jianwu Lin: Sino-British Blockchain Industry Research Institute, Guangxi University, Nanning, Guangxi 530004, P. R. China†Tsinghua Shenzhen International Graduate School, Shenzhen, Guangdong 518055, P. R. China
Mengwei Tang: ��The Research Institute of Peking University in Shenzhen, Shenzhen, Guangdong 518057, P. R. China
Jiachang Wang: ��The Research Institute of Peking University in Shenzhen, Shenzhen, Guangdong 518057, P. R. China
Ping He: ��The Research Institute of Peking University in Shenzhen, Shenzhen, Guangdong 518057, P. R. China

International Journal of Financial Engineering (IJFE), 2021, vol. 08, issue 04, 1-21

Abstract: With Private Funds having a new type of license for asset allocation practice in China, comprehensive asset allocation cross private equity and stock market has received more attention. However, most of the studies focus more on the stock market, and asset allocation models for private equity market that are mainly made based on experience. Thus, the joint allocation of assets crosses both markets making it a challenging research topic. This paper introduces the Black–Litterman model into the private equity market, realizing the transition from qualitative models to quantitative models. It lays a solid quantitative ground for the mixed asset allocation model in both the markets.

Keywords: Asset allocation; private equity market; secondary market; Black–Litterman model (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S2424786321500225

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