This study applies the Black–Litterman model to portfolio management in a post-crisis scenario, where standard parametric models often fail due to market irrationality and investor overreactions. The research focuses on the performance of surviving firms, identifying that over-performing stocks tend to outperform in the medium- to long-term, while under-performing stocks exhibit stronger short-term returns as the market corrects its initial overreaction. The study specifically adjusts views within the Black–Litterman framework using only the top and bottom quartiles of stocks, which experience the most significant shifts during a crisis. By controlling for firm size and book-to-market ratios, consistent with the Fama-French three-factor model, the research demonstrates that adjusting portfolio weights with the Black–Litterman model can achieve substantially higher returns with lower downside risk during recovery periods. These findings have significant implications for portfolio managers seeking to optimize returns in volatile, post-crisis markets.

中文翻译：

---

当潮水消退时：系统性崩溃后投资组合管理的研究


本研究将 Black-Litterman 模型应用于危机后情景下的投资组合管理，其中标准参数模型经常由于市场非理性和投资者反应过度而失败。该研究侧重于幸存公司的表现，发现表现优异的股票往往在中长期内跑赢大盘，而表现不佳的股票在市场纠正最初的过度反应时表现出更强的短期回报。该研究专门调整了 Black-Litterman 框架内的观点，仅使用股票的顶部和底部四分位数，这些股票在危机期间经历了最显着的变化。通过与 Fama-French 三因素模型一致，通过控制公司规模和账面市值比率，该研究表明，使用 Black-Litterman 模型调整投资组合权重可以在恢复期内获得更高的回报和更低的下行风险。这些发现对于寻求在动荡的危机后市场中优化回报的投资组合经理具有重大意义。