Risk-Return Parity Model for the Broad Assets Based on the Fed Model

Yanglong Chen (), Xinyi Mei () and Qingde Wang ()
Additional contact information
Yanglong Chen: Beijing Jiaotong University
Xinyi Mei: Beijing Jiaotong University
Qingde Wang: National Information Center

A chapter in IEIS 2020, 2021, pp 367-379 from Springer

Abstract: Abstract The asset allocation has always been an essential research content of global institutional investors. Based on the Fed model, this paper proposes a risk-return parity model for a wide range of assets to balance the returns and risks of institutional investors. Firstly, this paper reviews the proposal and development of the Fed model. Secondly, this paper constructs a measure of the expected return of assets by different assets of medium and long-term cash flow. The measure could compare valuations of the broad investment assets such as fixed income, stocks, trust, real estate, and maximize the revenue under the regulatory constraints. Meantime, this paper puts forward the model of asset parity and makes empirical retrospection. Finally, this paper introduces the risk adjustment factors of each asset and proposes a risk-return parity model for a large class of assets based on the Fed model. This paper enriches the theoretical system of asset allocation and has widespread practical application value.

Keywords: Risk-return parity model; Asset allocation; Fed model (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-33-4363-4_28

Ordering information: This item can be ordered from
http://www.springer.com/9789813343634

DOI: 10.1007/978-981-33-4363-4_28

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().