Risk factor investing has gained popularity among academic researchers and market practitioners over the past few decades.However,focusing solely on factors may not be sufficient to merge investor views and generate competitive portfolios.The Black-Litterman model combines market status and subjective judgment,allowing freedom in views.In this study,we explore the relationship among the market,factors,and portfolios via constructing factor-blending portfolios using different optimization strategies.We analyze the Betas of factors against the market and the Betas of portfolios against factors to explain implied patterns.S&P 500 and PAAIX from January 2018 to December 2022 are chosen as benchmarks.Overall,the maximized Sharpe ratio optimization outperforms other portfolios,and its risk sensitivity remains at an acceptable level.
维普
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