Dynamic Industries Asset Allocation In The Time-varying β Coefficients Constraints

Asset allocation is the primary aspect of the decision-making in portfolio investment and the most critical elements in the entire investment decision-making process, but because of the capacity constraints and liquidity difficulties in the market that lead to large-scale investment tends to decentralized, and the stocks in the same industry tend to homogenization of a more serious tendency, making the role of industries asset allocation is particularly important. According to the foreign empirical studies show that most of the proceeds of the Common Fund can be used to explain by the asset allocation in the different industries, that is to say the industries asset allocation at the fund asset allocation portfolio management have occupied the primary position in a mature market, that the timely and appropriate industries allocation has more potential of reduce risks and increase earnings than a single stock.This paper describes the time-varying coefficientsβof the various industries in Shanghai and Shenzhen A-share markets by the DCC (1,1)-MVGARCH (1,1) model, and achieves the industries asset allocation process in the time-varying coefficient (3 constraints. Study shows that:the time-varying coefficientβof different industries has the same feature which the mean tend to one, but there are significant differences can be found from the maximum value, the minimum value and the trends in various industries, that is to say, in the same time the fluctuations of different industries index affected by the whole market are different, it confirms that it has the possibility of the industries asset allocation in our country; From the trends of systematic risk proportion of the total risk can be found that the average mean of the proportion of systematic risk in various industries as high as 82.99 percent, overall the proportion of systematic risk in various industries is too high, but the mean and the minimum value of the proportion of systematic risk have significant differences, including the extractive industry, the financial industry, the real estate industry, the cultural transmission industry, as well as the wood furniture industry, the mean of the proportion of systematic risk is significantly lower than other industries; By testing the effect of industries asset allocation can be found that it could get the excess earnings which the average rate of returns is higher than the market returns, but from the view of the effects of spreading the non-systematic risk, theoretically it only disperses about 17 percent of non-systematic risk at most compares to invest in a single industry, the systemic risk of the various industries is too high to affect the effect of portfolio risk diversification in a certain degree constraints. Therefore it could be considered by introducing the stock index futures timely, setting up a two-way trading system, standardizing the system of margin financing, reforming IPO pricing mechanism, perfecting the exit mechanism of listed companies, optimizing the ownership structure of listed companies, strengthening market supervision and other measures to circumvent and reduce the systemic risks, thus it could increase the proportion of non-systematic risk, make the industries asset allocation more efficient.