Asset Allocation Fund Investment In China Study

Asset allocation is one of most important parts in modern investment theory, meanwhile, it has an obvious role in the performance of investment. The research about asset allocation has a short history all over the world, however, the conlusion agreed both by theroy field and actual investment field is that asset allocation is crucial for dispersing and reducing investment risk as well as increasing the investment income of institutions, especially, of fund managers.In China there are not so many researches on asset allocation, nor are applications in reality. And we only reached a primary stage in the research of developing asset allocation models which are suitable for our investments in the Chinese captital market, besides making specific statregies for different market conditions. What is more, most numbers of studies about asset allocaiton are based on Mean-Variance Model proposed by Marchowitz. Because of some inherent defects in this model, it could not serve very well in China.Considering the above reason, this thesis takes another risk measure, which is downside risk measure. And this thesis analyses the neccesary reasons for making investment based on downside risk measure for Chinese fund managers, and points out the advantages using downside risk measure to develop asset allocation model. At last, this thesis also selects the most effective dynamic strategy for asset allocaiton of studying of invesment performance based on downside risk measure in China. The structure of this thesis can fall into four parts which are discussed below.Chapter 1 is the introduction to this thesis, including the background of the research, the total summary of current reasults of the relevant study and the goal and contents of this thesis.Chapter 2 talks about the role and neccesary reasons for the application of asset allocation in China, and some basic knowledge about asset allocation which includes the concept, the object, style, and the porcess. Furthermore, the thesis shows some functions of asset allocation from the view of fund performance and risk control. In the end, this part concludes what is neccecary to use asset allocation as an investment in the fund field in China.Chapter 3 is the explanation for the theory of asset allocaiton, mainly giving readers some famous models about asset allocation, especially, two of which are Mean-Variance model and Mean-Downside model. By comparing these two models, the thesis makes a conlusion that Mean-Downside model has a broader application in China.Chapter 4 is about strategy of asset allocation and empirical analysis which is based on Mean-Downside model. The main part of this chapter is that selecting data from Chinese stock market and bond mareket ever since 2002, comparing the different performance of the strategies of dynamic asset allocaiton from different investing styles, durations, and calculation periods. Accoding to those results, the thesis concludes a series of applicability about dynamic strategies.The innovation of this thesis is in the fourth part which takes a new risk measure, that is Mean-Downside model to consider dynamic strategy of asset allocation in China. Before this thesis, Mean-Variance model was the dominent model concerning this problem, nevertheless, due to its defect, the accuracy of the study is forced to reduce. Therefore, this thesis with Mean-Downside model as the risk measure could enhance the accuracy of the conclusion to some degree.