Empirical Research On Asset Allocation Based On Risk Parity Strategy

Investment is a process with challenge and opportunity.Lots of people have a painful experience of investment failure.During the collapse of the market,the correlation efficiency of different sectors increased sharply,while the liquidity decreased significantly.Traditional diversified investment methods in the face of "systemic risk crash" level have no effect.Searching for investment portfolio in a wider range of asset classes,so that the asset allocation can operate smoothly in a variety of economic cycle is the urgent needs of the market,so as the various financial institutions.In recent years,foreign investment and faculty have aroused widespread concern in the risk-parity method.It is a strategy to control the risk contribution of every single asset to ensure the overall risk of the whole portfolio.Starting from the risk factors,this paper studies a stable strategy which performance relatively stable even in the stock market crash scenario.In this paper,we study the asset allocation problem under the risk parity strategy,which aims to achieve long-term and stable overall performance through the combination and allocation of assets.And,starting from two perspectives:Looking for a broader class of assets.The traditional asset allocation studies focus on the stock and bond markets.By building a portfolio on a border class of assets can avoid systemic risk if one or two of these markets crashes.According to the empirical data of the past ten years at home and abroad,the analysis concluded that the risk parity strategies can improve the overall portfolio and make the overall net worth rose steadily.