本篇論文建構一個方法將動能策略與Black-Litterman模型做結合，此模型是Black and Litterman (1992)所提出，它可以將投資人的主觀看法反映在預期報酬當中，而且將這組預期報酬放入Markowitz (1952) 所提出的Mean-Variance架構中不會使得投資人的部位產生劇烈變動。在本篇論文中，動能策略的執行參考Jegadeesh and Titman (1993) 的作法，將動能策略的結果作為對於未來的主觀看法，放入Black-Litterman模型中產生出一組預期報酬後，再以Mean-Variance架構求得最適權重，以此權重對未來進行投資，最後比較和市場其他指標進行比較投資組合的表現。本文將用三種不同的方式建構動能策略的主觀看法，首先指採用過去一個月的贏家輸家投資組合，接著使用六個月，最後則沿用六個月但放寬 tau 可以隨顯著水準的不同調整。結果發現以無論哪種方法所建構出來的投資組合皆些微優於標竿投資組合，本文的方法建構投資組合其表現平均而言每月比其他指標高0.2%，這顯示將動能策略納入Black-Litterman模型中可以增加投資組合績效。

本篇論文建構一個方法將動能策略與Black-Litterman模型做結合，此模型是Black and Litterman (1992)所提出，它可以將投資人的主觀看法反映在預期報酬當中，而且將這組預期報酬放入Markowitz (1952) 所提出的Mean-Variance架構中不會使得投資人的部位產生劇烈變動。在本篇論文中，動能策略的執行參考Jegadeesh and Titman (1993) 的作法，將動能策略的結果作為對於未來的主觀看法，放入Black-Litterman模型中產生出一組預期報酬後，再以Mean-Variance架構求得最適權重，以此權重對未來進行投資，最後比較和市場其他指標進行比較投資組合的表現。本文將用三種不同的方式建構動能策略的主觀看法，首先指採用過去一個月的贏家輸家投資組合，接著使用六個月，最後則沿用六個月但放寬 tau 可以隨顯著水準的不同調整。結果發現以無論哪種方法所建構出來的投資組合皆些微優於標竿投資組合，本文的方法建構投資組合其表現平均而言每月比其他指標高0.2%，這顯示將動能策略納入Black-Litterman模型中可以增加投資組合績效。

This paper proposes a portfolio approach to combine momentum strategy with Black-Litterman model. The model developed by Black and Litterman (1992) demonstrates how investors combine their subjective views to the equilibrium without fluctuating severely in their position. In addition, implementing momentum strategy through Black-Litterman can prevent portfolio managers from constructing long-short portfolio. In this paper, we employee momentum strategy formed by Jegadeesh and Titman (1993) as a view and combine this view into Black-Litterman model to observe the out of sample performance. Our method slightly outperforms the MSCI Taiwan and superior to Market index. The portfolio constructed by our method will outperform the benchmark by $0.2\%$ per month. The result shows that applying momentum as a view can enhance the performance of portfolio.

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