The Comparative Research Of Optimal Assets Allocation Models

With the increasing usage of derivatives in managing equity portfolios, and the increased usage of quantitative techniques for bond portfolio management, modern-portfolio management theory based on M-V model are queried more and more, and downside loss averse preferences based on lower-partial moment have seen a resurgence in the portfolio management literature. Whereas at present the lack of researching in domestic assets allocation, this paper make a preliminary research and compare in the different models. After reviewing the development course of the assets allocation model, we selected the data of price of the domestic stocks, the week return as the foundation, and we find asset returns are non-normal with large left tails, then we document significant differences in M-V and M-LPM optimal portfolios and their investment performance. This observation is consistent with industry usage of M-LPM theory for equity portfolios. With the development of security market of our country, the proportion of institutional investors in the market improves gradually, the assets allocation occupied to the leading position in the whole course of investing. After being successively allowed to invest in the stock market in National Social Security Fund (NSSF), Insurance company and Supplementary Pension, the risk partiality characteristic of every organization will determine the unique portfolio, M-V does not possess obviously, but M-LPM have advantage in meeting different characteristic of different investor. This paper compare mean-variance (M-V) and mean-lower partial moment (M-LPM) optimal portfolios and make a preliminary research in asset allocation for institutional investor, we offered a kind of thought for further research. Seeing that the domestic capital market is so young, various kinds of investment theory come from foreign mature market too , the choice of domestic assets allocation model need more careful research.