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Academic Journal of Business & Management, 2023, 5(5); doi: 10.25236/AJBM.2023.050523.

Research on Optimization Strategy of Quantitative Investment Scheme Based on Black-Litterman Model


Jinhui Zhang, Lanlan Shi, Wei Xu

Corresponding Author:
Jinhui Zhang

School of Statistical and Applied Mathematics, Anhui University of Finance and Economics, Bengbu, 233030, Anhui, China


In today's trading market, for every investor, they want to obtain a higher rate of return within their own controllable risks. And how to obtain a maximum yield is undoubtedly a complex and difficult challenge. In order to help investors obtain a higher return in gold and bitcoin investment, we have integrated XGBoost, ESN, Black-Litterman and other models to establish a more optimized quantitative investment plan. Task 1: For the model, first use the optimized XGBoost-ESN model to predict the prices of gold and Bitcoin on the second day, and then use the Black-Litterman model to help investors make more accurate quantitative investments. From the initial $1,000 to the final $20,278.14, the annualized rate of return: 82.56%. Task 2: In order to predict the accuracy of the price, we use two different price prediction methods for prediction. The weights of the two are determined by the least squares method, and the optimized model is obtained. And in order to understand that our investment cycle is the optimal solution, we used different trading cycles of 5 days, 15 days, and 30 days for gold and Bitcoin to conduct a single-variable comparison test, and obtained different optimal transactions between the two cycle. Task 3: We conduct a dynamic analysis of transaction costs, and determine the optimal transaction cost range for gold and Bitcoin by understanding different transaction costs. Task 4: Since different investors have different risk acceptance levels, we have added var risk prediction content. In order to reduce the loss of income, we set a profit and loss line to ensure the safety of funds. Finally, we discuss the problems that may arise in the process of practical application of the model, and use the validity test to verify the validity of the established model. In addition, we provide a reasonable evaluation of the strengths and weaknesses of the model.


XGBoost, ESN, Black-Litterman, Quantitative Trading, Asset Allocation, VAR

Cite This Paper

Jinhui Zhang, Lanlan Shi, Wei Xu. Research on Optimization Strategy of Quantitative Investment Scheme Based on Black-Litterman Model. Academic Journal of Business & Management (2023) Vol. 5, Issue 5: 164-176. https://doi.org/10.25236/AJBM.2023.050523.


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