In this paper,Black-Litterman strategy is adopted for asset allocation under the Merrill Lynch clock framework that integrates financial intermediation theory(credit and money cycle),combined with VAR vector autoregressive forecasting and LSTM macroeconomic forecasting model.Based on the theory of credit and money cycle,the classification criterion of Merlin clock economic cycle is expanded,so as to divide the domestic macroeconomic operation status into different economic states from 2001 to 2021.A deep learning macroeconomic forecasting model based on LSTM is constructed to simulate China's macroeconomic environment in the next five years,including economic growth,inflation,interest rate(reflecting the degree of monetary policy tightening),as well as four index yields of four types of assets(stocks,commodities,bonds,cash and their equivalents).Finally,single asset allocation,hedge allocation and Markowitz Sharpe ratio maximum is used for asset allocation.However,Markowitz strategy is sensitive to the input of expected rate of return.According to the previous prediction of the future macroeconomic environment,this paper finds that the main theme of the future economic state is stagflation and recession economic rotation.This paper believes that due to the rise of interest rates in the economic environment and the decline of liquidity caused by the contraction of credit channels,cash and commodities are relatively strong compared with stocks and bonds.In order to better fit into this paper's views on future economic cycles,Black-Litterman asset allocation strategy is adopted.Finally,this paper calculates the risk-return characteristics of the portfolio under different asset allocation strategies,and combines them with their own strategy characteristics for comparison and analysis.
NETL
NSTL
维普
万方数据
