Research On The Weight Of The Fond Of Fond Based On The Risk-parity Theorem

In traditional finance,we are already familiar with the Markowitz portfolio theory.Markowitz’s theory tells us to follow the principle of decentralization when deploying risky assets,and when the risk is certain(or when the returns are certain),you want to optimize your portfolio and have only one of the most profitable(or least risky))Points in the curve,this curve is called the efficient frontier.This theory created the traditional financial theory,but also to Mr.Markowitz won the Nobel Prize in Economics.However,there is a fatal flaw in the theory that it does not take into account when the risk of each asset in the portfolio is different.For example,when a large class of assets includes stocks,bonds,currency investment,the risk of the entire portfolio is often one of the stock asset volatility(risk)control,which is the traditional decentralized investment philosophy is contrary to.Based on this,Pan Agora Fund’s chief investment officer,Dr.Qian En ping proposed the famous risk-parity(Risk-Parity)theory,this theory was later used for the actual investment bridge water funds,obtained very good results.In this paper,we use the idea of risk parity to study the index distribution and the proportion of assets in the FOF products that the ETF allocates in the current domestic.Making an example of the application of risk parity theory in the Chinese marketing,and proposes a kind of asset allocation idea for fund companies which focus on FOF asset allocation in China.Of course,I personally think that the risk parity method is very suitable for pension funds as an investment FOF products(parent fund)asset weight selection method.The research method mainly uses the WIND database to extract the exponential and ETF data,calculate the yield sequence,and then according to the yield sequence covariance matrix.Then,according to the mathematical formula of the risk contribution degree,the equations are constructed and the weights are calculated.Other problems mainly rely on EXCEL programming,part of the program to rely on MATLAB to solve the weight of large data problems.This section is the core of the paper,followed by the display of each asset and different assets under the FOF portfolio weight map,charts,as well as performance tables.From three aspects of a comprehensive interpretation of the use of risk parity theory in China’s asset allocation of the advantages and feasibility.It is concluded that the theory of risk parity can be used to invest in FOF funds in China as an asset allocation concept.