The Research On The Strategy Of Positive Asset Allocation

Asset allocation has a very important position in the modern investment decision-making, it is fundamental factor which decides yield and security. Internationally, the research of actively asset allocation strategies started late. Since the 1980s, this research had achieved many results. However, the system of scientific theoretical has not been established. The research and applications of asset allocation still stage in the learning and imitating period in China. Majority of domestic institutional investors and individual investors have not recognized the importance of asset allocation decision. With the fast development of China securities market, the feature of weak-form EMH (Efficient Markets Hypothesis) will maintain in the long period, active asset allocation has a wider operating space. Therefore, researching positive asset allocation is very important.This Paper has discussed theoretical basis of positive asset allocation. Feature of non-complete effectiveness is basis of Positive asset allocation theoretical. Feature of non-complete effectiveness is exist in a certain degree. Generally, the complete efficient market assumptions are too strict and harsh to consistent with reality. In realities, the market is in between completely effectiveness and not completely effectiveness. Therefore, positive asset allocation is necessary.This paper has discussed the relationship among economic cycle, industry allocation, style allocation and asset allocation. The assets yields about stocks, bonds and cash are decided by economic cycle change. The depth research of economic cycle is foundation of right decision-making of asset allocation. There are series of indicators such as leading, lag and other some indicators which can be used to identify the phase of the economic cycle. Investors should adjust assets dynamicly according to different stage of economic. Stock style allocation is one of most important of asset allocation. This paper has discussed the method of variance, downside risk, value at risk and so on, this paper has deeply researched the fixed proportional asset allocation, the risk aversion level of Markowitz in the optimization of asset allocation and the VAR financial asset allocation.The portfolio strategy is a good strategy for aversion investors. This idea originated from the portfolio of stocks and option, it can guarantee that the portfolio will not fall below the minimum standards and has the ability to add value.The DAA strategy is generally divided into three kinds: the strategy of purchase and hold, the strategy of constant mixed strategy, the portfolio Insurance Strategy. The downside-risk only descript distribution of yield under a target yield level. To solve questions true feelings of risk and yield non normal distribution issues, in the framework of downside-risk, this paper adopts financial market data of Jun,2008 to july,2009, this paper gives an empirical analysis about buy and hold strategy, constant mixed strategy, portfolio insurance strategy, and has discussed the influence of changes of M value which impact on investment returns.