A Review of the Research on Asset Allocation Theory

DOI

10.2991/saeme-17.2017.89How to use a DOI?

Keywords

asset allocation; mean-variance; CAPM; risk parity; black-litterman.

Abstract

Effective asset allocation is considered the key to successful investment. The research on the theory of asset allocation began in the 1930s. The traditional configuration strategies included 60/40 combination, equal weight combination and mean-variance model. In the 1990s, in order to relax the hypothesis of the strategy, the feasibility of the theory in practice was put forward. A series of asset-based asset allocation strategy based on the GEYR model was proposed. In 21st century, the global economic volatility strengthened, in order to effectively control the risk, to maximize the diversified portfolio, risk-based asset allocation strategy to become the focus of investor attention, risk parity model is one of the typical representatives. At the same time, in addition to the application of quantitative models, investors have begun to pay attention to the impact of the economic cycle, policy cycle and management capabilities, with proud performance of the University Endowment Fund and the operability of the Merrill Lynch clock model to become investors and Use the object.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jianlin Zhao
AU  - Ming Zhou
PY  - 2017/07
DA  - 2017/07
TI  - A Review of the Research on Asset Allocation Theory
BT  - Proceedings of the 2017 International Conference on Sports, Arts, Education and Management Engineering (SAEME 2017)
PB  - Atlantis Press
SP  - 398
EP  - 401
SN  - 2352-5398
UR  - https://doi.org/10.2991/saeme-17.2017.89
DO  - 10.2991/saeme-17.2017.89
ID  - Zhao2017/07
ER  -