Futures Investment Funds And The Efficiency Of Portfolio Optimization Study

Financial capital flows in the securities market, the futures market and the money market, at the same time, it's an important link in financial markets. Because China's stock market is operating characteristics of unilateral, resulting in a lack of financial instruments, investors can not resolved effectively market risk. When the domestic securities market lack of financial hedging instruments in a bear market, investors can only take diversified investment, but because of stock market investments within the portfolio to eliminate non-systematic risk only, not to avoid systemic risk, and the use of short selling the system can effectively hedge risk. In view of our futures market has already formed the standard operation and good liquidity, as investors in the fund industry, financial institutions can be profitable through the futures market to ensure its capital is not as large cap as stock market decline. The managed futures for investors to participate in the futures investment fund futures market provides an effective approach.In this paper, the theory of knowledge, investment funds, futures paper introduces the concept of portfolio optimization, causes and goals, and futures investment fund portfolio optimization research status at home and abroad. Optimization of investment funds on the futures in the portfolio of our empirical analysis in this section, the first draw under the Eviews software, stock market, bond market, futures market, correlation, and combination of modern portfolio theory, investment funds on the futures to join our the feasibility of portfolio analysis, results of the analysis is the futures investment funds and our portfolio was weak correlation.Join our portfolio will optimize the efficiency of our portfolio. The use of graphical method to determine the efficient frontier of asset portfolio chapter, and other benefits by drawing lines and curves such as variance portfolio to determine the borders of China shape, draw our portfolio efficient frontier can be typical curve to explain. Matlab-based portfolio optimization analysis of a chapter, obtained through Matlab programming process risk-earnings under different circumstances the proportion of the portfolio, which made for different investment strategies. Finally, the dynamic portfolio investment strategy applied in the case that YC futures company of Yunnan Copper Group's portfolio strategies, concluded that adding Managed Futures in portfolio investment can effectively optimize the efficiency of the asset portfolio, and the features that optimizes asset portfolio in the financial crisis or economic recovery is applicable and significant.