Author(s)

An Gao ¹, Yilin Ou ¹, Xilei Wu ², Zonglin Cai ¹

Affiliation(s)

¹ Saxo Fintech Business School, University of Sanya, Sanya, China
² School of Finance Economics, University of Sanya, Sanya, China

Corresponding Author

An Gao

ABSTRACT

In recent years, with the slowdown of global economic growth and domestic economic growth, systemic risks have gradually increased. The traditional asset allocation based on stocks and bonds has been difficult to meet the needs of asset allocation under the current economic environment. How to effectively control systemic risk under different risk levels has become an important topic in the field of asset allocation. In this context, this paper studies the asset allocation strategies among fund companies under market volatility and systemic risk. The specific problems include: find out the degree of emphasis of different companies on different stocks, then perform cluster analysis according to the degree of emphasis, calculate the degree of similarity of corporate strategies, and finally solve the similarity of asset allocation between Ran companies; After processing the massive and complicated data, the corresponding constraint conditions are given in the calculation of investment utility maximization based on the fundamental data, and the relevant model is established to solve it, and the optimal stock portfolio strategy is obtained. This paper establishes the corresponding model to analyze the fund asset allocation strategy, aiming at obtaining the optimal combination strategy and calculating the data such as value at risk, which has certain reference significance for companies to choose stocks.

KEYWORDS

Hierarchical clustering model, rotation algorithm, fund assets

CITE THIS PAPER

An Gao, Yilin Ou, Xilei Wu, Zonglin Cai, Capital allocation strategy analysis based on systemic risk perspective. Financial Engineering and Risk Management (2024) Vol. 7: 179-185. DOI: http://dx.doi.org/10.23977/ferm.2024.070624.

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