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Optimal asset allocation strategies of university endowment funds 认领 引用
1
作者 XIE Yong-chao YANG Zhong-zhi 《Chinese Business Review》 2007年第6期36-38,共3页
Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spend... Optimal asset allocation for university endowment funds is very important in USA. The management of endowment funds is challenging due to the need of finding out the balance between providing adequate and stable spending for beneficiaries and growth of the portfolio. In this paper, the author address these allocation constraints in a dynamic framework, in which minimum subsistence levels are introduced in the objective function and derive explicit formulas for the optimal portfolio strategy. 展开更多
关键词 asset allocation endowment fund return portfolio
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The Era of Global Asset Allocation Is Coming 认领 引用
2
作者 Zhang Ke 《China's Foreign Trade》 2017年第6期26-28,共3页
There is a common saying in the realm of wealth management in China that the era of global asset allocation is coming.
关键词 The Era of Global Asset Allocation Coming
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Asset allocation: Evidence From China 认领 引用
3
作者 Hong Xu Xiaoping Zhu Jim Xu 《Chinese Business Review》 2004年第1期1-10,共10页
As a key part of a corporate＇s operation, Asset allocation is critical to its survival and development This paper uses Markowitz financial security portfolio theory on corporate＇s asset allocation, to derive the opt... As a key part of a corporate＇s operation, Asset allocation is critical to its survival and development This paper uses Markowitz financial security portfolio theory on corporate＇s asset allocation, to derive the optimal asset allocation for an corporate in China through case study. 展开更多
关键词 asset allocation portfolio theory operating assets
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The research on China equity fund about the ability of asset allocation 认领 引用
4
作者 Xing Liu 《International English Education Research》 2014年第8期68-70,共3页
The ability of fund asset allocation is an important factor of influence the fund performance. Choose stock funds, starting from the stock fund investment strategy, different investment strategies have their respectiv... The ability of fund asset allocation is an important factor of influence the fund performance. Choose stock funds, starting from the stock fund investment strategy, different investment strategies have their respective asset allocation. For fund asset allocation ability, this paper chose different performance indicators, through the method of comparison between group and group, listed stock funds of our country classification in K - W single factor ANOVA. At the same time, according to the result of test, analyze the causes affect the ability of the fund asset allocation, and gives the corresponding investment advice. 展开更多
关键词 stock funds Asset allocation The comparative analysis Performance indicators
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Dynamic Asset Allocation with Loss Aversion in a Jump-diffusion Model 认领 引用 被引量：2
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作者 Hui MI Xiu-chun BI Shu-guang ZHANG 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2015年第2期557-566,共10页
This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed ... This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed by jump-diffusion processes driven by an m-dimensional Brownian motion and a（N- m）-dimensional Poisson process. After converting the dynamic optimal portfolio problem to a static optimization problem in the terminal wealth, the optimal terminal wealth is first solved. Then the optimal wealth process and investment strategy are derived by using the martingale representation approach. The closed-form solutions for them are finally given in a special example. 展开更多
关键词 jump-diffusion process loss aversion asset allocation martingale
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Overseas operations and corporate financial asset allocation 认领 引用 被引量：1
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作者 Shangkun Liang Yuhao Niu +1 位作者 Sichao Wang Chun Yuan 《China Journal of Accounting Research》 2024年第4期24-53,共30页
Using data on Chinese listed companies for 2008-2018,we find that firms participating in overseas operations,proxied by overseas subsidiaries,generally have higher financial asset allocations than other firms.At the m... Using data on Chinese listed companies for 2008-2018,we find that firms participating in overseas operations,proxied by overseas subsidiaries,generally have higher financial asset allocations than other firms.At the micro level,the effects are more pronounced when the parent company faces serious financing constraints,has no overseas returned executives,has a business that is inconsistent with that of its overseas subsidiaries and has overseas subsidiaries that experience losses.At the macro level,the effects are more pronounced when overseas operations are in OECD and Belt and Road countries,or in areas with higher economic or political risks and greater investment opportunities.Financial asset allocation helps mitigate cash flow fluctuations and operational risks for multinational firms.This study advances research on the determinants of financial asset allocation and has implications relevant to the Chinese government’s“Go Global”and Belt and Road strategies and its efforts to realize a developed financial sector to service the Chinese economy. 展开更多
关键词 Overseas Operations Financial Asset Allocation Overseas Subsidiaries Physical Investment Risk Aversion
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Dynamic assets allocation based on market microstructure model with variable-intensity jumps 认领 引用
7
作者 覃业梅 彭辉 《Journal of Central South University》 SCIE EI CAS 2014年第3期993-1002,共10页
In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump ... In order to characterizc large fluctuations of the financial markets and optimize financial portfolio, a new dynamic asset control strategy was proposed in this work. Firstly, a random process item with variable jump intensity was introduced to the existing discrete microstructure model to denote large price fluctuations. The nonparametric method of LEE was used for detecting jumps. Further, the extended Kalman filter and the maximum likelihood method were applied to discrete microstructure modeling and the estimation of two market potential variables： market excess demand and liquidity. At last, based on the estimated variables, an assets allocation strategy using evolutionary algorithm was designed to control the weight of each asset dynamically. Case studies on IBM Stock show that jumps with variable intensity are detected successfully, and the assets allocation strategy may effectively keep the total assets growth or prevent assets loss at the stochastic financial market. 展开更多
关键词 discrete microstrucmre model （DMSM） variable jump intensity evolutionary algorithm （EA） asset allocation excess demand market liquidity
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Timing Prediction Error Volatility and Dynamic Asset Allocation 认领 引用
8
作者 Yun Shi 《Journal of Systems Science and Systems Engineering》 SCIE EI CSCD 2022年第1期111-130,共20页
We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are incorporated.In the problem,both expected return,prediction error volatility,and transaction cost are ... We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are incorporated.In the problem,both expected return,prediction error volatility,and transaction cost are time-varying.Our optimal strategy suggests trading partially toward a dynamic aim portfolio,which is a weighted average of expected future tangency portfolio and is highly influenced by the common fluctuation of prediction error volatility(CPE).When CPE is high,the investor would invest less and trade less frequently to avoid risk and transaction cost.Moreover,the investor trades more closely to the aim portfolio with a more persistent CPE signal.We also conduct an empirical analysis based on the commodities futures in Chinese market.The results reveal that by timing prediction error volatility,our strategy outperforms alternative strategies. 展开更多
关键词 Dynamic asset allocation prediction error volatility transaction cost return predictability volatility timing
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Strategic Asset Allocation for China's Foreign Reserves:A Copula Approach 认领 引用 被引量：1
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作者 Zhichao Zhang Fan Zhang Zhuang Zhang 《China & World Economy》 2013年第6期1-21,共21页
In this paper, we study strategic asset allocation for China＇s foreign reserves using a risk- based approach. Four aspects of the risk management are investigated： an investment universe, dependence structure, alloc... In this paper, we study strategic asset allocation for China＇s foreign reserves using a risk- based approach. Four aspects of the risk management are investigated： an investment universe, dependence structure, allocation strategies under risk minimization and trade-off between risks and returns. A regime-switching copula model is developed to investigate the dynamic dependence between assets. One regime emphasizes a short-term safe asset and the other regime emphasizes a long-term safe asset. The optimal allocation is derived following two strategies： risk minimization and trade-off between risks and returns in utility maximization with disappointment avoidance, lf the central bank focuses solely on risk minimization, the asymmetries in the asset return dependence encourage the flight to safety. However, if higher risks are allowed in exchange for higher returns, even the exchange is very conservative, and the asymmetries would discourage the flight to safety. Therefore, we suggest that China should mitigate its flight to safety after 2008 and increase holdings of short-term bank deposits, long-term treasury bonds and euro bonds. 展开更多
关键词 copula models flight to safety foreign reserves risk management strategic asset allocation
Life-cycle cost model and evaluation system for power grid assets based on fuzzy membership degree 认领 引用 被引量：6
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作者 Guilin Zou Yan Huang +2 位作者 Wen Chen Liangzheng Wu Shangyong Wen 《Global Energy Interconnection》 EI CSCD 2021年第4期434-440,共7页
Life-cycle cost(LCC)theory can be effectively applied to improve the efficiency and quality of power plant equipment and asset management.However,specific aspects of the LCC calculation and evaluation model require fu... Life-cycle cost(LCC)theory can be effectively applied to improve the efficiency and quality of power plant equipment and asset management.However,specific aspects of the LCC calculation and evaluation model require further research for practical application.This paper proposes an LCC assessment model for the management of electric power plant equipment during its service life.A membership function method based on fuzzy logic is used to improve the allocation of modernization and overhaul projects to multiple equipment assets.An LCC assessment model and evaluation system for power equipment are proposed and successfully applied to the equipment and project management of a Guangzhou power plant in the China Southern Power Grid,providing a decision-making mechanism that facilitates efficient operation and optimal utilization of power plant equipment and assets. 展开更多
关键词 Asset LCC Power equipment management Fuzzy evaluation Membership degree Asset allocation
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Research on the Development Direction of Commercial Banks’Corporate Business——Taking A Commercial Bank as an Example 认领 引用
11
作者 Wenlong Hua 《Proceedings of Business and Economic Studies》 2025年第4期108-115,共8页
Against the backdrop of the gradual deepening of interest rate liberalization,the decline in effective credit demand,the intensification of competitive involution among commercial banks,and the complex international e... Against the backdrop of the gradual deepening of interest rate liberalization,the decline in effective credit demand,the intensification of competitive involution among commercial banks,and the complex international economic and trade situation,commercial banks in China's mainland have entered a stage of low interest rates and narrow interest margins.Coupled with the continuous exposure of risks in retail customer groups and small and micro enterprises,many commercial banks have chosen to phase in expanding and strengthening their corporate business segments to smoothly navigate economic cycles and enhance operational resilience and sustainability.How the corporate business segment optimizes its asset-liability structure through asset allocation to achieve high-quality development is a major issue worthy of consideration by the entire industry.From the perspective of a medium-sized national commercial bank,this paper explores and proposes four key basic customer groups,six asset allocation models,and fourteen key industries for layout,for reference,and research. 展开更多
关键词 Corporate credit Asset allocation Business transformation High-quality development
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Increasing convex order of capital allocation with dependent assets under threshold model 认领 引用 被引量：3
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作者 Jiandong Zhang Zhouxia Guo +1 位作者 Jiale Niu Rongfang Yan 《Statistical Theory and Related Fields》 CSCD 2024年第2期124-135,共12页
In this manuscript,we consider a risk-preference investor allocating some amount of capital to the dependent risky asset,where the responding asset will occur default if the stochastic return is less than some predete... In this manuscript,we consider a risk-preference investor allocating some amount of capital to the dependent risky asset,where the responding asset will occur default if the stochastic return is less than some predetermined threshold.Then,we present sufficient conditions of the increasing convex order on capital allocation with dependent risky assets when the stochastic return is right tail weakly stochastic arrangement increasing.Finally,some numerical examples are given as illustrations. 展开更多
关键词 Increasing convex order asset allocation right tail weakly stochastic arrangement increasing(RWSAI) threshold
Forecasting returns with machine learningand optimizing global portfolios:evidencefrom the Korean and U.S.stock markets 认领 引用
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作者 Dohyun Chun Jongho Kang Jihun Kim 《Financial Innovation》 2024年第1期64-93,共30页
This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won–U.S.dollar(KRW/USD)exchange rate and the U.S.and Kore... This study employs a variety of machine learning models and a wide range of economic and financial variables to enhance the forecasting accuracy of the Korean won–U.S.dollar(KRW/USD)exchange rate and the U.S.and Korean stock market returns.We construct international asset allocation portfolios based on these forecasts and evaluate their performance.Our analysis finds that the Elastic Net and LASSO regression models outperform traditional benchmark models in predicting exchange rate and stock market returns,as evidenced by their superior out-of-sample R-squared values.We also identify the key factors crucial for improving the accuracy of forecasting the KRW/USD exchange rate and stock market returns.Furthermore,a machine learning-driven global portfolio that accounts for exchange rate fluctuations demonstrated superior performance.Global portfolios constructed using LASSO(Sharpe ratio=3.45)and Elastic Net(Sharpe ratio=3.48)exhibit a notable performance advantage over traditional benchmark portfolios.This suggests that machine learning models outperform traditional global portfolio construction methods. 展开更多
关键词 International asset allocation Foreign exchange rate Stock marketprediction Portfolio diversifcation Machine learning
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An Analysis of Annual Household Income From the Survey of Consumer Finances 认领 引用
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作者 Laurence G. Taff 《Sociology Study》 2011年第6期430-443,共14页
This paper presents a brief analysis of the frequency and cumulative distributions of Americans＇ annual household income. In addition, a thorough discussion of the correlations between average income and some key dem... This paper presents a brief analysis of the frequency and cumulative distributions of Americans＇ annual household income. In addition, a thorough discussion of the correlations between average income and some key demographic variables are included. The data come from the 2004 Survey of Consumer Finances. Utilizing the Survey a new, extraordinarily close, power law, relationship between current annual household income and accumulated financial assets is demonstrated. Another startling result is that the dependence of mean annual income on portfolio composition has nearly perfect power law dependence too. As money has scale, and power laws do not, this makes no sense. 展开更多
关键词 Portfolio composition asset allocation risk aversion wealth income
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Research on the Impact of Life Insurance on Household Financial Risk Investment 认领 引用
15
作者 CHENLeyang 《外文科技期刊数据库（文摘版）经济管理》 2022年第4期175-178,共4页
Under the background of the gradual improvement of the income level of contemporary households, the amount of disposable capital has increased significantly. Financial markets have begun to have a large amount of hous... Under the background of the gradual improvement of the income level of contemporary households, the amount of disposable capital has increased significantly. Financial markets have begun to have a large amount of household capital investment, which has greatly promoted the development of financial markets. Therefore, it has attracted a large number of scholars to invest in the research of household financial asset allocation. Through the research and analysis of family financial risk investment, it is convenient to understand the specific impact mechanism and asset allocation factors, and to realize the rational allocation and utilization of assets on the basis of strengthening the family's risk resistance, which plays a positive role in improving the family income level. As a representative commercial insurance, life insurance has gradually become an important component of family financial assets, affecting the optimal allocation of family assets to varying degrees. In view of this, the article mainly analyzes the impact of life insurance on family financial risk investment. On the basis of understanding the relationship between life insurance and family financial risk investment, the article tries to find reasonable measures to improve the family's cognition level and acceptance of life insurance. With the rational allocation and utilization of funds, the article helps the high-level development of China's financial market. 展开更多
关键词 household finance financial risk life insurance asset allocation
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The impact of quantitative trading strategies on insurance investment and risk management 认领 引用
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作者 Jianjie Deng 《Journal of Fintech and Business Analysis》 2025年第2期38-42,共5页
Against the backdrop of continuous innovation in financial markets,quantitative trading strategies,characterized by data-driven decision-making,model-based analysis,automated execution,and controllable risk,have exert... Against the backdrop of continuous innovation in financial markets,quantitative trading strategies,characterized by data-driven decision-making,model-based analysis,automated execution,and controllable risk,have exerted a profound impact on insurance investment and risk management.This paper explores the application of quantitative trading strategies in the insurance industry,analyzing their role in optimizing insurance investment portfolios and enhancing risk management effectiveness.In the field of insurance investment,quantitative trading strategies accurately assess the risk-return characteristics of assets.By applying modern portfolio theory and integrating specific cases,these strategies achieve optimal asset allocation,significantly improving investment returns while effectively diversifying risks.In risk management,quantitative models leverage extensive historical data to identify potential risk factors,use metrics such as Value at Risk(VaR)and Conditional Value at Risk(CVaR)to precisely measure risks,and implement real-time monitoring with preset risk thresholds to ensure effective control and timely warning.Additionally,stress testing and scenario analysis are employed to enhance the risk resilience of insurance portfolios.This study indicates that even though using quantitative trading strategies in the insurance industry has challenges like poor data quality,risks from the models,lack of technical skills and talent,and changes in the market,we can expect future trends such as better technology use,new ideas,applying strategies across different markets and assets,flexible risk management,and working together with regulatory technology(RegTech).The rational adoption of these strategies will continue to improve the investment efficiency of insurance funds and risk management standards,facilitating the sustainable development of the insurance industry. 展开更多
关键词 quantitative trading strategies insurance investment asset allocation risk management
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