基于风险平价策略的高净值客户资产配置研究

Markowitz奠定了现代金融学中资产组合和配置的研究框架.随着资产配置实践的不断发展,研究者们在均值—方差模型基础上提出了CAMP模型、B-L模型、 风险平价模型及美林时钟模型等,力求通过对风险与收益的控制,实现在资产配置实践中获取最优的效果.在总结既有模型的经验基础上,以风险平价模型为重点,选取股、 债、 商品等为配置对象,验证了风险平价策略在中国高净值客户资产配置中的适用性.

Research on Family Wealth Allocation Based on Risk Parity Strategy

Markowitz laid down the framework of asset allocation and portfolio theory. With the continuous development of asset allocation practice, scholars proposed CAMP model, B-L model, risk parity model and Merrill lynch clock models, based on mean-variance model and strived to get optimal effect in the asset allocation practice through control of the risks and benefits. Summarizing the experiences of both the models, this paper discussed the applicability of risk parity strategy in the wealth allocation for the high net worth clients.