Research On Fund Portfolio Based On Three-factor Asset Allocation Model With Entropy-weight TOPSIS Method

With the rapid development of China's economy in recent years,the high net value population continues to increase.According to the statistics of the institutions,in 2016,the number of high net worth population in China reached 158 million,which doubled the number of population in 2012.The collapse of the Chinese stock market in 2015 and 2016 has caused a sharp decline in the wealth of many investors.How to achieve the value of the maintenance of the assets and the personal financial plan becomes a problem that needs to be solved urgently and is of practical significance.The concept of "asset allocation",which is already very mature in Europe and America,is becoming more and more important in China.The research objective of this paper is to establish an investment portfolio for individual investors.This article relies on fund products as empirical objects.The first step is to use entropy-weight TOPSIS to conduct dynamic screening of stock funds.The second step uses the three-factor asset allocation model proposed for the first time in this paper to assign the selected stock funds together with other types of funds.Most of the existing studies only consider one or two of the three factors of yield,volatility and correlation.This paper innovatively proposes a three-factor asset allocation model for the first time.Based on the fund products as the empirical object,the validity and robustness of the model are illustrated from the perspectives of statistical simulation and empirical evidence.In the aspect of statistical simulation,the yield data of five asset classes are randomly generated 1000 times based on the asymmetric Laplace distribution.Then,the threefactor model and other traditional models are ranked and rated according to relevant indicators.The lower the score indicates that the higher the ranking,the model is more effective.The results of the statistical simulation show that the three-factor asset allocation model has the best performance,the risk parity method and the minimum variance method are superior to the equal weight combination,and the benchmark investment portfolio performance is the worst.The empirical results are also consistent with the results of the statistical simulation.The three factor asset allocation model has the largest proportion of the sharpe ratio and the calmar ratio.There are three innovative points in this paper.Firstly,this paper proposes a three-factor asset allocation model;secondly,this paper introduces the entropy-weight TOPSIS method to construct the investment portfolio;finally,this paper provides a complete asset portfolio construction method.