Application Research On Portfolio Selection Of Public Offering FOF

FOF(the fund in the fund)originated in the United States.China’s first public offering FOF came out in 2017.Different from traditional funds,as a financial instrument,FOF does not directly invest in traditional assets such as stocks,bonds,or bulk commodities,but invests in funds.Through fund investment,the risk can be redispersed to minimize the risk of investors and obtain more stable returns.The risk of China’s stock market is huge.The advent of FOF caters to the needs of investors to avoid risk,so how to build a stable public offering FOF portfolio has also become a hot issue in the research of FOF.Firstly,by comparing the common large-scale asset allocation models,this paper selects the risk parity model with better applicability for large-scale asset allocation,and then creatively uses entropy weight TOPSIS to select China’s Listed Open-end funds,to determine the sub funds in the FOF portfolio and construct the FOF portfolio in combination with the risk parity model.Finally,by comparing the FOF portfolio with the benchmark and FOF index,this paper draws relevant conclusions.Firstly,through analysis,select the representative indexes of large categories of assets,analyze the daily closing price data of four common categories of assets fro m January 1,2007,to January 1,2022,through MATLAB,and construct the large category asset allocation portfolio by using equal weight model,mean variance model,minimum variance model and risk parity model.The results show that the risk parity model shows good stability in FOF large category asset allocation,The large portfolio constructed by it has low volatility and can obtain more stable returns.Therefore,when constructing FOF portfolio,we choose to use risk parity model to allocate large categories of assets.After determining the allocation mode of large categories of assets,this paper preliminarily selects the listed contractual open-end funds in China according to the establishment years and fund scale,constructs the fund pool corresponding to different categories of assets according to the primary investment type and secondary investment type of the fund,selects the positive and negative quantitative evaluation indicators of each fund in recent three years,and then uses entropy weight TOP SIS to comprehensively score the funds of different fund pools,Select the top 3 funds in the fund pool of different investment types,combined with the comprehensive evaluation of the fund companies that won the Taurus award,and finally select a total of 18 funds of different investment types.Finally,the risk evaluation model is used to construct the public offering FOF portfolio composed of different investment types of sub funds.The performance evaluation of the constructed FOF portfolio shows that i t has better stability and higher rate of return.