A New Asset Allocation Model for Capturing Asymmetric Correlation

2013 ◽  
Author(s):  
Xing Jin ◽  
Kun Zhang
Keyword(s):  
Asset Allocation ◽  
Allocation Model ◽  
Asymmetric Correlation

The study of mixed assets allocation based on Black–Litterman model

2021 ◽  
pp. 2150022
Author(s):  
Jianwu Lin ◽  
Mengwei Tang ◽  
Jiachang Wang ◽  
Ping He
Keyword(s):  
Stock Market ◽  
Asset Allocation ◽  
Private Equity ◽  
Equity Market ◽  
Research Topic ◽  
Allocation Model ◽  
Quantitative Models ◽  
Challenging Research ◽  
Qualitative Models ◽  
New Type

With Private Funds having a new type of license for asset allocation practice in China, comprehensive asset allocation cross private equity and stock market has received more attention. However, most of the studies focus more on the stock market, and asset allocation models for private equity market that are mainly made based on experience. Thus, the joint allocation of assets crosses both markets making it a challenging research topic. This paper introduces the Black–Litterman model into the private equity market, realizing the transition from qualitative models to quantitative models. It lays a solid quantitative ground for the mixed asset allocation model in both the markets.

scholarly journals Abnormal Portfolio Asset Allocation Model: Review

2020 ◽  
Vol 1 (1) ◽  
pp. 46-54
Author(s):  
Nurfadhlina Bt Abdul Halima ◽  
Dwi Susanti ◽  
Alit Kartiwa ◽  
Endang Soeryana Hasbullah
Keyword(s):  
Asset Allocation ◽  
Asset Returns ◽  
Higher Moments ◽  
Investment Portfolio ◽  
Allocation Model ◽  
Model Review ◽  
The Mean ◽  
Mean Variance ◽  
Skewness And Kurtosis ◽  
Normally Distributed

It has been widely studied how investors will allocate their assets to an investment when the return of assets is normally distributed. In this context usually, the problem of portfolio optimization is analyzed using mean-variance. When asset returns are not normally distributed, the mean-variance analysis may not be appropriate for selecting the optimum portfolio. This paper will examine the consequences of abnormalities in the process of allocating investment portfolio assets. Here will be shown how to adjust the mean-variance standard as a basic framework for asset allocation in cases where asset returns are not normally distributed. We will also discuss the application of the optimum strategies for this problem. Based on the results of literature studies, it can be concluded that the expected utility approximation involves averages, variances, skewness, and kurtosis, and can be extended to even higher moments.

The Black-Litterman Model for Portfolio Optimization on Vietnam Stock Market

2020 ◽  
Vol 28 (Supp01) ◽  
pp. 99-111
Author(s):  
Bao Quoc Ta ◽  
Thao Vuong
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Market Equilibrium ◽  
Management Model ◽  
Optimal Portfolios ◽  
Allocation Model ◽  
Allocation Process ◽  
Allocation Decisions

The Black-Litterman asset allocation model is an extended portfolio management model to construct optimal portfolios by combining the market equilibrium with investor views into asset allocation decisions. In this paper we apply Black-Litterman model for portfolio optimization on Vietnames stock market. We chose ARIMA methodology utilized in financial econonometrics to predict the views of investor which are used as inputs of the Black-Litterman asset allocation process to find optimal portfolio and weights.

Research on Asset Allocation Model of Pension Fund in China

2011 ◽  
Vol 422 ◽  
pp. 448-451
Author(s):  
Mei Wang ◽  
Li Yan Han ◽  
Yan Sui Yang
Keyword(s):  
Financial Market ◽  
Asset Allocation ◽  
Price Index ◽  
Pension Fund ◽  
Pension System ◽  
Consumer Price Index ◽  
Minimum Variance ◽  
Allocation Model ◽  
Investment Policies ◽  
The Core

The preservation and appreciation of pension fund is the core of the whole pension system. As the cash for daily life of the retiree, the investment rate of return of pension fund has to be higher than Consumer Price Index (CPI) in order to maintain the purchase power of pension and play a security role. On the basis of Markowitz theory, the constraint of CPI was added in this paper. The weight of all assets in optimum portfolio and the minimum variance of the portfolio under current financial market were calculated by Matlab software in China. Finally, suggestions on reforming investment policies of pension fund in China were given.

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