Professor Li Jie (corresponding author), School of International Economics and Management, Beijing Technology and Business University, and his co-authors, "The impact of global economic policy uncertainty on portfolio optimization: A Black - Litterman approach "published in International Review of Financial Ananlysis, volume 86. International Review of Financial Ananlysis is included in ESI and SSCI databases and is the latest A2 class journal recognized by the university.

This paper studies the asymmetric impact of global economic policy uncertainty on global asset allocation, and adopts the double asymmetric GARCH-MIDAS (DAGM) model to examine the asymmetric impact of GEPU shock on the long-term volatility of global stocks, bonds, commodities, clean energy and bitcoin. Gepu-based volatility is used as a proxy for investor opinion uncertainty in the Black Litterman (BL) framework, and the research results show that in most cases, the GEPU-based BL model produces higher out-of-sample risk-adjusted returns than other traditional benchmarks. Investors should consider the impact of GEPU when making portfolio decisions.

Thesis information: Han Yingwei,Li Jie (corresponding author).The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach[J]. International Review of Financial Analysis, 2023, 86: 102476.

The original link: https://doi.org/10.1016/j.irfa.2022.102476