name: 资产配置与组合优化 description: 资产配置理论与优化器使用指南，涵盖 MPT、Black-Litterman、风险预算与全天候策略，并包含 4 种优化器及再平衡规则说明。 category: asset-class
Asset Allocation and Portfolio Optimization
Overview
From asset allocation theory to practical implementation, this skill covers classical frameworks (MPT, BL, risk budgeting, all-weather) and the usage of the four optimizers built into this system. The output can be written directly into config.json.
Asset Allocation Theory
1. Modern Portfolio Theory (MPT, Markowitz)
Core idea: maximize expected return for a given level of risk (the efficient frontier).
Optimization problem:
min w'Σw (portfolio variance)
s.t. w'μ = target_return
Σw = 1
w ≥ 0 (no shorting)
| Advantages | Disadvantages |
|---|---|
| Mathematically rigorous | Extremely sensitive to inputs (garbage in, garbage out) |
| Efficient frontier is visualizable | Concentrated-allocation problem (often produces extreme weights) |
| Foundational framework | Assumes normality and ignores fat tails |
Practical advice: do not use raw MPT directly. Add constraints (upper/lower bounds, sector limits) or use a regularized version.
2. Black-Litterman Model
Core idea: start from market equilibrium and incorporate investor views.
Steps:
1. Reverse-imply market equilibrium returns: π = δΣw_mkt
2. Build the view matrices: P (selection matrix), Q (view returns), Ω (view uncertainty)
3. Blend the posterior: μ_BL = [(τΣ)^-1 + P'Ω^-1 P]^-1 [(τΣ)^-1 π + P'Ω^-1 Q]
4. Run Markowitz optimization using posterior μ_BL
Example views:
- Absolute view: “China A-shares will return 10% over the next year” →
P=[1,0,0], Q=[0.10] - Relative view: “China A-shares will outperform US equities by 5%” →
P=[1,-1,0], Q=[0.05]
Parameter guidance:
τ(uncertainty scaling):0.025-0.05Ω: set according to view confidence, where higher confidence = smaller variance
3. Risk Budgeting
Core idea: allocate by risk contribution rather than by capital share.
Risk contribution: RC_i = w_i × (Σw)_i / σ_p
Target: RC_i / σ_p = budget_i (for all i)
| Strategy | Risk Budget | Best Use Case |
|---|---|---|
| Equal risk contribution | Each asset 1/N | When you do not know which asset is best |
| Equity-tilted risk budget | Stocks 60%, bonds 30%, commodities 10% | When you want equities to contribute more risk |
| Dynamic risk budget | Adjust dynamically by signal strength | When you have market-timing ability |
4. All-Weather Strategy
Bridgewater framework: allocate risk equally across economic environments.
Economic environment Asset allocation
───────── ─────────
Growth rising Equities + commodities + corporate bonds
Growth falling Government bonds + inflation-protected bonds
Inflation rising Commodities + inflation-protected bonds + EM debt
Inflation falling Equities + government bonds
Simplified allocation example for China-focused portfolios:
- 30% CSI 300 / CSI 500
- 40% government bonds / credit bonds
- 15% gold
- 15% commodities / REITs
Guide to the 4 Optimizers
Overview of the Built-In Optimizers
Configure them in config.json through optimizer and optimizer_params:
| optimizer | Display Name | Core Idea | Best Use Case |
|---|---|---|---|
equal_volatility |
Equal Volatility | Allocate weights by inverse volatility | Simple and effective baseline |
risk_parity |
Risk Parity | Equalize risk contribution while accounting for correlation | Long-term robust allocation |
mean_variance |
Mean-Variance | Maximize Sharpe ratio or minimize variance | When return forecasts are available |
max_diversification |
Maximum Diversification | Maximize the diversification ratio | When pursuing a low-correlation portfolio |
1. equal_volatility
{
"optimizer": "equal_volatility",
"optimizer_params": {
"lookback": 60
}
}
Principle: w_i = (1/σ_i) / Σ(1/σ_j)
| Parameter | Default | Description |
|---|---|---|
| lookback | 60 | Volatility calculation window (trading days) |
Advantages: simple and fast, no return forecast required, no correlation matrix required.
Disadvantages: ignores cross-asset correlation.
2. risk_parity
{
"optimizer": "risk_parity",
"optimizer_params": {
"lookback": 60
}
}
Principle: solve for weights such that each asset contributes the same amount of risk.
| Parameter | Default | Description |
|---|---|---|
| lookback | 60 | Covariance-matrix estimation window |
Advantages: accounts for correlation, spreads risk more evenly, and is robust over long horizons.
Disadvantages: requires iterative solving and is sensitive to covariance estimates.
3. mean_variance
{
"optimizer": "mean_variance",
"optimizer_params": {
"lookback": 60,
"risk_free": 0.0
}
}
Principle: Markowitz optimization that maximizes the Sharpe ratio.
| Parameter | Default | Description |
|---|---|---|
| lookback | 60 | Window for estimating means and covariances |
| risk_free | 0.0 | Risk-free rate (annualized) |
Advantages: theoretically optimal (if inputs are accurate).
Disadvantages: extremely sensitive to inputs, prone to extreme weights, and often performs poorly out of sample.
Recommendation: do not make lookback too short (<30 easily overfits), and add upper/lower weight constraints.
4. max_diversification
{
"optimizer": "max_diversification",
"optimizer_params": {
"lookback": 60
}
}
Principle: maximize DR = (w'σ) / σ_p (the diversification ratio).
| Parameter | Default | Description |
|---|---|---|
| lookback | 60 | Calculation window |
Advantages: does not require return forecasts and seeks true diversification.
Disadvantages: effectiveness is limited in highly correlated environments.
Optimizer Selection Decision Tree
Do you have return forecasts?
├── Yes → mean_variance (remember to add constraints)
└── No → Do you need to account for correlation?
├── Yes → risk_parity (recommended default)
└── No → Are volatility differences across assets large?
├── Yes → equal_volatility
└── No → max_diversification
Rebalancing Strategy
Three Rebalancing Triggers
| Method | Trigger Condition | Advantages | Disadvantages |
|---|---|---|---|
| Periodic rebalancing | Fixed monthly / quarterly date | Simple, predictable trading cost | May miss or delay adjustments |
| Threshold trigger | Deviation from target weight > X% | Trades only when needed | Frequent trading in high-volatility markets |
| Volatility trigger | VIX / volatility breaks a threshold | Adapts to market regime | Parameter selection is difficult |
Suggested Rebalancing Frequency
| Asset Class | Suggested Frequency | Threshold |
|---|---|---|
| Equity portfolio | Monthly | ±5% |
| Stock-bond mix | Quarterly | ±10% |
| Global macro | Quarterly / semiannual | ±10% |
| Cryptocurrency | Weekly / biweekly | ±15% (high volatility) |
Rebalancing in Backtests
Implement rebalancing logic in signal_engine.py:
# Periodic rebalancing example (every 20 trading days)
if bar_count % rebalance_freq == 0:
# Recompute weights
new_weights = calculate_target_weights(data_map)
for code, weight in new_weights.items():
signals[code].iloc[i] = weight
Cross-Asset Correlation Analysis
Typical Correlation Matrix (China-Focused Portfolio Example)
| CSI 300 | CSI 500 | Government Bonds | Gold | BTC | |
|---|---|---|---|---|---|
| CSI 300 | 1.00 | 0.85 | -0.15 | 0.05 | 0.10 |
| CSI 500 | 0.85 | 1.00 | -0.10 | 0.03 | 0.12 |
| Government Bonds | -0.15 | -0.10 | 1.00 | 0.20 | -0.05 |
| Gold | 0.05 | 0.03 | 0.20 | 1.00 | 0.15 |
| BTC | 0.10 | 0.12 | -0.05 | 0.15 | 1.00 |
Key patterns:
- Negative stock-bond correlation is the foundation of allocation (but it does not always hold; in 2022 both stocks and bonds sold off)
- Gold has low correlation with equities and serves as a hedge
- BTC’s correlation with traditional assets is unstable and tends to become positive in crises
- Large-cap versus small-cap China A-shares have high correlation (
0.85), so diversification benefits are limited
Output Format
## Asset Allocation Recommendation
### Allocation Plan
| Asset | Weight | Risk Contribution | Expected Return (Annualized) |
|------|------|---------|--------------|
| CSI 300 | 30% | 45% | 8% |
| Government Bond ETF | 40% | 15% | 3% |
| Gold | 15% | 20% | 5% |
| BTC | 15% | 20% | 15% |
### Optimizer Configuration
```json
{
"optimizer": "risk_parity",
"optimizer_params": {"lookback": 60}
}
Expected Risk / Return
| Metric | Value |
|---|---|
| Expected annualized return | 7.2% |
| Expected annualized volatility | 8.5% |
| Expected Sharpe | 0.85 |
| Expected maximum drawdown | -12% |
Rebalancing Rules
- Frequency: quarterly (first trading day of March / June / September / December)
- Threshold: trigger when any asset deviates from target by ±10%
- Cost: estimated annual trading cost 0.15%
## Notes
1. **The optimizer needs enough instruments**: at least 3 instruments are needed for meaningful optimization; with 2 instruments, `equal_volatility` is usually enough
2. **`lookback` window**: too short (`<20`) is noisy, too long (`>120`) reacts slowly, and 60 is a reasonable default
3. **`mean_variance` trap**: it is the easiest to overfit, and out-of-sample Sharpe is often cut by half or more
4. **Rebalancing cost**: frequent rebalancing eats into returns; for China A-share portfolios, stamp duty of 0.05% plus commissions is material
5. **Cross-market allocation**: use `"source": "auto"` in `config.json`, and let `codes` mix instruments from different markets
6. **Leverage constraint**: the sum of weights must be ≤ 1.0, and leverage is not allowed unless explicitly specified
7. **Survivorship bias**: historical correlations may be distorted by delistings and new listings