Application And Improvement Of Risk Parity Strategy In Asset Allocation

On the one hand,with the advent of public-offered FOF funds,core of the investment strategy of FOF funds lies in asset allocation.On the other hand,long-term institutional investors such as Social Security Fund have participated in the capital market,who require higher return with controllable risk.Consequently,there is a huge demand for research of asset allocation strategy based on risk parity.The existing domestic research mainly focuses on empirical analysis of the traditional risk parity strategy,which can't adjust actively.Firstly,according to Roncalli's idea of active risk parity strategy,this paper uses stock and bond to build a portfolio.This strategy regards the weight of risk parity portfolio as the initial weight,then uses Black-Litterman model to combine trend tracking to adjust the weight.Empirical result shows that this method can achieve higher return than the traditional risk parity strategy with controllable risk when adopting shorter-term trend tracking in Chinese market.Thereafter,this paper constructs a dynamic risk budget strategy by doing market-timing of stock asset.Empirical result shows that dynamic risk budget strategy achieves higher sharp ratio than traditional risk parity strategy and active risk parity strategy.After adding gold to the portfolio,the dynamic risk budget strategy still performs best and the three-asset portfolio's return is higher than the portfolio of stock and bond.