The Research Of Fund Type Asset Allocation Method

In the past two years, open-ended fund has become main force of security market investment, and how to carry on funds to choose to become important decision at present. The research that is chosen to every fund on micro aspect nowadays is numerous, but the research of reasonable to distribute stock,bond and currency at macroscopical aspect is little.The thinking of research herein is to divide the fund into three major kinds according to the investment classification and adopt the assets " from top to bottom in the article " to dispose the method, hope to achieve the goal of optimizing the assets.The thesis divided the various funds into three aspects:stock type,bond type and monetary type,and treat the first two as risk assets,meanwhile the last as nonrisk assets.First analyses the trend of the index,and adopt GARCH model to modify the revenue model of funds,predict the variation of the funds at the same time.Then through the scene analysis,adopt the asset allocation model to compute the proportion of each fund,and optimized the asset allocation.First of all, study on economic cycle of macroscopic indicator tendency, and draw the conclusion: The macroscopical economic indicator has a in various degree impact on earning ratio of all kinds of funds acting on the banking index.Secondly , through deal with to macroscopical stationarity test of economic indicator , count through pluralism analytical method draw factor that does not influence each other, set up the multifactor model between banking index and macroscopical economic indicator and among the earning ratio of all kinds of funds and banking index separately;adopt GARCH model revision,obtain final earning ratio and predict model and variance predict models.Then, through the analytic approach of the scene , predict the earning ratio of all kinds of funds and risk situation of the next stage.Finally, according to its earning ratio and risk's characteristic, adopt assets " from top to bottom " dispose investment combination that the way obtains may raise the income made up in case of not reduced risk of making up , superior to achievement basis of market, and and actual earning ratio difference relatively light.The research is meaningful for the financial product "fund of fund",and provide the method and standard for practice,and meaningful for institutional investors in insurance companies, fund companies and so forth.