Research On Industrial Assets Allocation Strategy Based On SVM Algorithm And Risk Parity Model

Since the end of the 20th century,the phenomenon of industry rotation in the stock market has been confirmed.Asset allocation plays a crucial role in investment.Fund managers spread risks and obtain excess returns through asset portfolio,and industry allocation is the key to asset allocation.In developed countries,the method of industry allocation by quantitative method has been deeply practiced,while the industry allocation method in China still focuses on fundamental analysis and involves little in quantitative industry allocation method.Therefore,this paper attempts to combine the latest research results of risk parity model with the popular machine learning support vector machine algorithm to find a set of quantitative asset allocation strategy scheme suitable for China's industry.In this paper,the risk parity model is used to construct the broad asset allocation strategy,which verifies the advantages of the risk parity method over the traditional asset allocation method in portfolio effect.Then,select the shanghai stock primary industry index and construct the industry asset allocation strategy with the risk parity method.By comparing the shanghai composite index benchmark,it is found that this strategy can achieve excess returns to a certain extent.However,due to the high correlation coefficient between industries,its risk control effect is not very obvious.Finally,in exploring the industry behind the macroeconomic regulation and cyclical phenomenon,the use of industry classification based on Beta CAPM model,and select the M2,the five commonly used macroeconomic indicators such as the CPI forms training set input indicators,using support vector machine algorithm for the industry with a prediction of the dominant class of each month,to verify the industry dynamic phenomenon,combining risk parity model best weight distribution constructing portfolio,the resulting of the strategy using the SVM and Risk Parity Model,according to its earnings performance and risk indicators compared to previous simple parity industry risk allocation strategy has the obvious improvement.