The Research Of Asset Allocation Of Wealth Management Business Of Commercial Banks

With the rapid growth of the domestic economy in recent years,the individual assets in China has expanded rapidly,and the number of high net worth individuals in China has been growing dramatically,which has greatly promoted the development of wealth management.At the same time,investors' demand for professional wealth management institutions has increased significantly.Investment philosophy,such as "Leaving Professional Jobs to Professional People" and "Cooperating with Professional Wealth Management institutions",will be more popular.The problem now is,the current wealth management business in China fails to meet the individual requirement which is growing rapidly.At present,China's wealth management business is still in its initial stage,and the overall level needs to be improved.The implementation of professional assets allocation methods is considered as a scientific means to enhance wealth management business.In this article,we will study the asset allocation theory of the wealth management business of commercial banks.As the ancestor of the portfolio theory,Markowitz has gained an important historical status in the investment field by the mean variance model.But the mean variance model inevitably has some shortcomings which make its application value limited.The Black-Litterman model has corrected many defects of the traditional portfolio investment model and has become a hot issue in application and theoretical research.The core of this paper is based on the study of the asset allocation of the Black-Litterman model,and empirically tests the application value of the model to the individual wealth management of commercial banks.In this paper,we select five types of assets to represent the most common assets available to commercial banks' individual customers.The logarithmic yield of five kinds of assets are selected as samples for relevant research and analysis.In the modeling part,the yield prediction result of ARMA-GARCH model is used to represent the subjective view excess return rate Q,and the matrix element of the error covariance matrix? is represented by the volatility prediction result of the ARMA-GARCH model,and the conventional diagonal matrix P=diag(1)is selected to represent the investor's view selection matrix P.In the empirical part,based on the customer characteristics of commercial banks,the constraints are set under the conditions of asset returns,risks and liquidity needs,and the Black-Litterman model is used to determine the optimal investment weight.The allocation ratio of market equilibrium weight,mean variance model weight and Black-Litterman model weight is compared.At the same time,the influence of different T values is analyzed.In the model test part,the Black-Litterman model test is carried out with a half-year data outside the model.As a result,the curve portfolio return rate is smoother than the single asset return rate which means the risk of portfolio investment is smaller than that of single asset.Especially in the Black-Litterman model with investor view,the cumulative return of portfolio investment is the most stable.At last,we classify the customers with different characteristics according to the life cycle theory and then the corresponding asset allocation suggestions are given by introducing the Black-Litterman model.