A Study On Assets Allocation Of A - Share Cultural Plate In China

This paper pays attention to asset allocation of cultural sector in Chinese stock market. The appearance of industry funds gives ideas for allocation in industrial level. The cultural industry has special characteristic, which is the high-risk high-yield and non-defensive and non-periodic. Investment in cultural sector in the secondary market need not only to control risk, which use transportation sector, public utility sector, bio-pharmaceutical sector to establish the portfolio to reduce the risk, but also to allocate actively in the cultural sector to get the excess earnings over the industry index. This paper finished the efficient allocation in four types of sectors and the listed shares in the cultural sector in the mean-variance system. I used the historical data to do empirical research, but historical data is not the best prediction of the future return. So I revised it based on the policy of prospering culture industry. Meanwhile I use the information investors can get and predictive ability of investors to revise the data of listed shares in cultural sector.I studied that portfolio can significantly reduce the risk against investment in cultural industry alone. The minimize allocation of cultural sector should be between15percent to20percent in order to control risk and get return. Without conditions,73.7percent in cultural sector and26.3percent in bio-pharmaceutical sector is the optimal portfolio which maximizes the Sharpe ratio. Increasing the weight of cultural sector can bring high return. With the condition of weight restriction, the optimal weight is also over50percent in the cultural sector, only adding the allocation of bio-pharmaceutical sector. The efficient frontier is still more efficient than CSI300index in that condition.Allocation actively in the cultural sector is to minimize the residual risk in the given residual return on condition that portfolio has the same systematic risk of market. The optimal portfolio is composed of two feature portfolio and construct active boundary through information ratio. After analyzing the influence of factors on the excess return, I found that the factor influencing the return significantly is operating range in region. This is the one of the sources which can build the forecast of the excess returna.