首页|How to Construct a Lower Risk FOF Based on Correlation Network?The Method of Principal Component Risk Parity Asset Allocation

How to Construct a Lower Risk FOF Based on Correlation Network?The Method of Principal Component Risk Parity Asset Allocation

扫码查看
原文链接
  • NETL
  • NSTL
  • 万方数据
In order to build a low-risk Fund of Funds(FOF),from the perspective of correlation,the principal component factor is used to improve the traditional risk parity model.Principal component analysis is used to decompose the underlying assets and generate unrelated principal component factors,and then the authors can construct a principal component risk parity portfolio.The proposed empirical results based on China's mutual fund market show that the performance of principal component risk parity portfolio(PCRPP)is better than that of equal weight portfolio(EWP)and traditional risk parity portfolio(RPP).That is to say,not only the PCRPP in this paper has much lower risk than EWP and RPP,but also slightly better than EWP and RPP in terms of average return.Moreover,the study of dividing the underlying assets shows that the PCRPP in this paper is not sensitive to the underlying assets.The PCRPP in this paper is better than EWP and RPP for both the better performing funds and the worse performing funds.In addition,the empirical results on dynamic portfolio adjustments show that it is not appropriate to adjust asset allocation too frequently when the expected rate of return is calculated using the arithmetic mean.

Fund of funds(FOF)mutual fundsportfolio riskprincipal component analysisrisk parity portfolio

BAI Wei、ZHANG Junting、LIU Haifei、LIU Kai

展开 >

School of Management and Engineering,Nanjing University,Nanjing 210093,China

Postdoctoral Worksta-tion of Bank of Jiangsu Co.,Ltd,Nanjing 210006,China

College of Finance,Nanjing Agricultural University,Nanjing 210095,China

University of Prince Edward Island,550 University Ave,Charlottetown,PE C1A4P3,Canada

展开 >

国家自然科学基金国家自然科学基金Ministry of Education,Late-stage Subsidy Project for Philosophical and Social Sciences Re-search Foundation

U18114627177111618JHQ058

2024

10.1007/s11424-023-2296-4

系统科学与复杂性学报(英文版)
中国科学院系统科学研究所

系统科学与复杂性学报(英文版)

EI
影响因子：0.181
ISSN：1009-6124
年,卷(期)：2024.37(3)
  • 54