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А Study on the Optimum Allocation Strategy of Portfolio Assets Based on the Absolute Expectations of China’s Securities Market

Shen Yan   (Postgraduate, Institute of Finance of the Central University of Finance and Economics of China, Beijing)

Ma Tian   (Postgraduate, Institute of Finance of the Central University of Finance and Economics of China, Beijing)

Zhang Xuejun   (PHD, Research Fellow, China Research Institute for the Development of Electronic Information Industry, China, Beijing)

This paper analyses the strategy of realizing optimal portfolio allocation on the basis of absolute mathematical expectations. Scientific Innovation-The first time to use dynamic portfolio strategy to study China's securities market and industry. The conclusion is that unconditional expectation strategy is characterized by less volatility and higher return. Moreover, the out of sample’s CAPM alpha is 2.1%, that proves the strategy effectiveness. The results can be used to analyze Russian stock market.

Keywords:Finance, Asset Management, Unconditional Mathematical Expectations, China
 

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Citation link:
Shen Y. , Ma T. , Zhang X. А Study on the Optimum Allocation Strategy of Portfolio Assets Based on the Absolute Expectations of China’s Securities Market // Современная наука: актуальные проблемы теории и практики. Серия: ЭКОНОМИКА и ПРАВО. -2019. -№10. -С. 121-125
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