| In the research of financial market,the related research of asset portfolio is one of the hot topics in recent years.Reality for combination of the actual construction often contain people’s subjective factors,so the portfolio performance results to some extent influenced by people’s psychological activity,the behavioral finance combined with a portfolio,to quantify the portfolio,to obtain the expected excess return and risk control in the range of acceptable,matching the benefits and risks.In this paper,the weekly earnings data of 50 constituent stocks of Shanghai stock exchange from January 04,2013 to June 30,2019 are firstly adopted to test the effectiveness of the asymmetric CAPM model based on the upper and lower markets,and the conclusion that there is asymmetry in China’s a-share market is obtained.With asymmetry then CAPM model to estimate the stock expected returns,innovation in the expected profit as investors view create benefit matrix,returns will be integrated into the B-L model B-L model based on asymmetric market,after extracting the Shanghai 50 stocks on January 4,2013-2019,June 30 weeks earnings data,at 250 weeks earnings for a cycle,by the method of rotating sample,for B-based on asymmetric market,test the validity of the L model,and calculate the sample portfolio income outside the sharpe ratio,come to a conclusion: The B-L model based on asymmetric marketcan be used stably and effectively in Chinese a-share securities market,and the performance result is better than that of M-V model.At last,the stability of B-L model based on asymmetric market is tested by changing ? value,and the results show that B-L model based on asymmetric market is still better than M-V model in asset allocation when changing ? value.The first part of this paper firstly reviews the background and significance of choosing the paper topic,and explains why we need B-L model to study asset allocation.Then,this paper introduces the market asymmetry and the research results of relevant scholars,and reviews the research status of b-l model at home and abroad,which lays a foundation for this paper.The second part establishes the asymmetric CAPM model based on the asymmetry of China’s a-share market and tests the asymmetry of China’s A-share market.The third part is the theoretical modeling of B-L model,and the combination of asymmetric CAPM and B-L model,the establishment of an optimized B-L model,and the validity of the model is tested.Finally,the stability of the B-L model based on asymmetric market is tested and the results are analyzed.This paper proposes a new method to estimate the return of investors’ viewpoints,and verifies the effectiveness of the B-L model based on asymmetric market,which is of great significance for guiding investors to invest and manage assets. |
