The Research Of Allocation Method And Structure Of Large Asset

Since the gradually Opening up of China's capital market,asset allocation has been not only the focus of large-scale financial institutions,but also has become the focus of close attention to small and medium-sized institutions and family investors.With the progress of interest rate marketization,china's interest rate marketization becomes gradually mature,especially in recent years,the central bank cut interest rate lower several times,which makes the traditional sense of the investment approach for small and medium institutions and family investors gradually lost its appeal.As a whole,there is a certain conduction effect between different market of capital market,so the study of the interaction effect between different markets and as a basis for asset allocation is of great research value.This paper mainly studies the relative linkage of exchange rate market to stock market and commodity market since exchange rate reform,and studies the mean of optimal asset allocation under the framework of RMB exchange rate.This paper select the data since the reform of the RMB exchange rate at 2005 and respectively study on the co-integration relationship of the RMB exchange rate with Shanghai Composite Index and Commodity Index.Based on the influence of the change of RMB Exchange Rate on the commodity market and stock market,we forward a Method of Large Asset Allocation based on the view of the change of RMB Exchange Rate that is different with the conventional Method of Asset Allocation and conduct a comparative analysis on these two Methods of Large Asset Allocation in the same sample range.The Method of Large Asset Allocation in this paper first consider to invest on the asset that perform better in the different status of RMB Exchange Rate that is different to the conventional Asset Allocation that take advantage of the return rotation of different Large Asset.Although this approach from the overall yield is better than the Investment Clock,but it just consider the influence of change of exchange rate and not take the return fluctuation of Large Asset into consideration,so the Structure of Asset Allocation of the method in this paper is not be optimized that make Large risk Exposure of the Asset Allocation in the different status of RMB Exchange Rate.Furthermore,Based on the Large Asset Allocation method in the perspective of RMB Exchange Rate that proposed before in this article,we embed the main idea of Markowitz,namely diversify investment in the method,improve the mean variance optimization goal in the model,make the Sharpe Ratio that combine risks and benefits as optimization goal to optimize the Structure of Asset Allocation.Finally,we use the Genetic Algorithms(GA)to get the optimal weights of different Large Asset in the different status of RMB Exchange Rate.The Research shows that our method proposed in this article is significantly superior to the conventional Method of Asset Allocation After the optimizing of the Structure of Asset Allocation.