The Application Of Risk Parity Strategy In Large-class Asset Allocation

After publicly-raised FOF entered the market in 2016,the "asset allocation" boom pushed up again.By the end of 2016,the total asset size of the public funds further expanded,breaking 9 trillion yuan.At the end of February 2017,the management scale of private funds reached 11.35 billion yuan,the number of private funds products recorded exceeded 4.86 million.With the advent of the era of asset management,asset allocation strategy has been paid more and more attention.In recent years,the regulatory authorities have accelerated the pace of innovation,the situation that there are limited domestic options of decentralized investment varieties is gradually broken,the increase in investment varieties in the market is conducive to the implementation of asset allocation.With the pace of the investment market,the subjective and quantitative asset allocation strategy have received widespread attention.Risk diversification is one of the core issues of asset allocation,this paper takes quantitative asset allocation strategy—the risk parity strategy,which has been widely used in both foreign and domestic markets,as the research object.This paper discusses the risk diversification ideas and asset allocation logic of the strategy,and implants the idea of subjective asset allocation based on the traditional risk parity model,then optimizes the original mathematical model.Adopted method: introduce risk budget concept,dynamically transfer positions based on subjective judgment and add a lever mechanism to change the return and risk attributes of asset portfolio.As one of the most popular tools for asset allocation,risk parity strategy has been validated by the market in the effective realization of steady investment income,such as Bridgewater's All Weather of and AQR's Risk Parity Fund on the overseas market.In recent years in the domestic market,risk parity strategy has become one of the main tools securities,fund and other investment institutions companies to carry out asset allocation.In order to solve the problem of risk minimization in risk parity model,this paper uses the SQP(sequence quadratic program)algorithm to output optimal asset allocation weights,and optimizes the original risk parity model based on the empirical results.