FOF Asset Allocation under Specific Risk Control Conditions

Zijun Chen; Zhongting Han; Yan Yin

Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China

Research Article

FOF Asset Allocation under Specific Risk Control Conditions

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@INPROCEEDINGS{10.4108/eai.18-11-2022.2327115,
    author={Zijun  Chen and Zhongting  Han and Yan  Yin},
    title={FOF Asset Allocation under Specific Risk Control Conditions},
    proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China},
    publisher={EAI},
    proceedings_a={ICEMME},
    year={2023},
    month={2},
    keywords={fof portfolio design risk controlling},
    doi={10.4108/eai.18-11-2022.2327115}
}

Zijun Chen
Zhongting Han
Yan Yin
Year: 2023
FOF Asset Allocation under Specific Risk Control Conditions
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327115

Zijun Chen¹^,*, Zhongting Han², Yan Yin³

1: Economics, China University of Political Science and Law
2: College of Internet of Things Engineering, Hohai University
3: Faculty of Business Administration, University of Macao

*Contact email: 490667002@qq.com

Abstract

Due to the lack of Chinese FOF funds and the corresponding literatures on quantitative analysis, this article attempts to construct a diversified portfolio including multiple asset classes based on quantitative analysis, which comprehensively measures the quality of FOF funds through the three indicators of maximum drawdown, volatility, and Sharpe ratio. Although many empirical analyses of FOF funds await to be carried out, we simulate the quantitative construction of FOF and explore the empirical analysis of FOF funds' investment decision-making. These results offer a guideline for the effectiveness of parameter tuning in FOF portfolio design under the demand of risk control.

Keywords: fof portfolio design risk controlling

Published: 2023-02-15
Publisher: EAI

: http://dx.doi.org/10.4108/eai.18-11-2022.2327115