Research on Asset Allocation Based on Quantitative Investment

Yichen Liu

2024

Abstract

This paper discusses the application of quantitative investment models in asset allocation. The main model studied is the Markowitz model. The Markowitz model calculates the excess return, covariance and standard deviation to obtain the Sharpe ratio. Maximizing the Sharpe ratio under a certain risk level can have the optimal asset allocation weighted ratio. The purpose is to analyze how quantitative models can optimize investment portfolios and asset allocation by balancing the risk and return. By studying cases of asset allocation of different companies in the technology market, the application and effectiveness of the Markowitz model in different conditions are shown and factors that may affect research results and judgments are found. The results show that quantitative investment methods can improve portfolio performance more than traditional methods. Finally, the paper discusses the advantages and limitations of the Markowitz model, provides valuable insights to investors and proposes directions for future research in this field.

Paper Citation

in Harvard Style

Liu Y. (2024). Research on Asset Allocation Based on Quantitative Investment. In Proceedings of the 1st International Conference on Innovations in Applied Mathematics, Physics and Astronomy - Volume 1: IAMPA; ISBN 978-989-758-722-1, SciTePress, pages 126-130. DOI: 10.5220/0013001200004601

in Bibtex Style

@conference{iampa24,
author={Yichen Liu},
title={Research on Asset Allocation Based on Quantitative Investment},
booktitle={Proceedings of the 1st International Conference on Innovations in Applied Mathematics, Physics and Astronomy - Volume 1: IAMPA},
year={2024},
pages={126-130},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0013001200004601},
isbn={978-989-758-722-1},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Innovations in Applied Mathematics, Physics and Astronomy - Volume 1: IAMPA
TI - Research on Asset Allocation Based on Quantitative Investment
SN - 978-989-758-722-1
AU - Liu Y.
PY - 2024
SP - 126
EP - 130
DO - 10.5220/0013001200004601
PB - SciTePress