Global Asset Allocation Theory And Empirical Research

As many countries in the world have opened their economy to other countries increasingly,Global securities investments are getting more and more active,this is the result of optimized allocation of resources. QFII has gained much experience by investing in China Capital Market. How can QDII of our country get profit by investing globally?How can we keep and increase national wealth. This is critical issues needed to be solved.Internaional Asset Pricing Models have good explanation for the returns of assets in developed market,the artical introduces international capital asset pricing model and international Arbitrage Pricing Theory,investors may not choose high return asset with too high risk which is beyond their tolorence,The writer introduces three kinds of risk mesurements:variance,downside risk and VaR/W₀;Based upon this,I try to discover the theory of international asset choosing considering both return and risk,then introduce global asset allocation methods, the writer explains Strategic ,Tactical ,Cycle and Integrated asset allocation; In the part of empirical analysis,the writer anlyses global equity allocation using Black Litterman model ,and discusses global bond portfolio and Global compositive asset allocation issues strengthing the importance of readjustments using finantial derivative instruments; I adresses the tough problems and prospect of Global asset allocation development at the end of the artical.