Industry Allocation Strategies at Chinese Stock Market

Abstract

Reasonable and efficient asset allocation has become a crucial issue with the diversified supply of financial products and the increasing demand for asset allocation by institutions and individuals. The efficient asset allocation can reduce risks well according to the study. The mean-variance model proposed by Markowitz in 1952 was the beginning of modern investment portfolio theory. This model used quantitative ideas for asset allocation for the first time. After that, the asset allocation method proposed by Black and Litterman that combines market data with investors' opinions has developed this theory. This thesis will discuss about the existed portfolio model and aims to obtain the optimal portfolio, setting up the efficient set of the industry allocation, which selects the industry stock data in the Chinese stock market by using the Markowitz model, Black’s model, Tobin’s model and VaR method. The thesis selects 28 industry stocks in China's A-share 600 market as sample assets, which uses monthly close price of stocks from 2011 to 2020......

Reasonable and efficient asset allocation has become a crucial issue with the diversified supply of financial products and the increasing demand for asset allocation by institutions and individuals. The efficient asset allocation can reduce risks well according to the study. The mean-variance model proposed by Markowitz in 1952 was the beginning of modern investment portfolio theory. This model used quantitative ideas for asset allocation for the first time. After that, the asset allocation method proposed by Black and Litterman that combines market data with investors' opinions has developed this theory. This thesis will discuss about the existed portfolio model and aims to obtain the optimal portfolio