The Financial Asset Allocation Model Based On Surplus Optimization And Empirical Study

When institutional investors make a decision on property allocation for the fund, they must fully consider the payment of the debt in the future and the means of funds must be adapt to the characteristics of debt-service payments future in the future. Thus, the key is the starting from the characteristics of constraint on debt when property allocation for institutional investors is studied. Traditionally, in the process of using optimization to develop investment strategy, majority of the effort is only in an attempt to find the appropriate weight of the various asset classes within the scope of only containing property, and the surplus optimization is in order to consider build a tools selected by the optimal portfolio in liabilities circumstances.This article is mainly to introduce liabilities variables on the basis of based on the traditional theory on portfolio Selection, and to a certain assumptions, also gives the mathematical framework of the optimizing surplus considering property and liabilities. And this article conducts the empirical research to the Chinese Repayment Funds, namely:(1)Selecting China Repayment Funds as the China Fund as the research object and applying property allocation model on optimizing surplus, this article conducts the empirical research to the China Repayment Funds and determines the optimal property allocation structure that also compares with the actual property allocation structure results of China Repayment Funds. The study results show that property allocation getting from this model is superior to the actual property allocation decisions of China Repayment Funds.(2)Empirically studying the efficiency frontier of surplus and separately adopting different proportion of Balance, this article obtains property allocation under the different risk level. The positive results show that, regardless of what number F takes, whenλtakes different numbers, the expectations yield for optimizing property allocation and Standard deviation will reduce along with the increase risk level and risk aversion will increase bond and the proportion of no-risk property in order to reduce the risk; at the same level of risk, the lower the Balance ratio F takes, the greater the bond and stock have in the proportion of property allocation, that indicate the property pressure to pay is bigger, the more necessary to. increase the proportion of bond and stock in the property allocation in order to reduce volatility of surplus by adopting the income of the bond and stock hedges the changes of the value of liabilities,.Therefore, when considering carrying on the property allocation to some insurance companies, pension funds, investment funds and other financial institutions in liabilities, asset allocation, not only consider the profit of all the property and risk characteristics, and it is more important to consider the attributes of its liabilities and the relationship between property and liabilities. Those must pay attention in practice.In conclusion part, the article presents the issues and direction of advanced studying in the future.