Risk measurement-based end-to-end asset allocation model assessment method and system

Abstract

The invention discloses an end-to-end asset allocation model assessment method and system based on risk measurement, and the method comprises the steps: 1, obtaining the risk characteristic quantity of to-be-allocated assets, namely, the information risk characteristic quantity and / or background risk characteristic quantity; 2, through the information risk characteristic quantity and the background risk characteristic quantity, introducing information risks and / or background risks to a plurality of types of asset configuration models to obtain a plurality of types of optimized asset configuration models; 3, performing asset configuration simulation on assets to be configured by using the optimized asset configuration model, and further solving an investment weight vector corresponding to each type of asset configuration model; and 4, introducing the investment weight vector of each type of asset configuration model into the asset configuration evaluation model to obtain a score of each type of asset configuration model so as to select an optimal asset configuration model. According to the technical scheme, information and background risks are introduced, the asset allocation model is improved, an evaluation method of various asset allocation models is provided, and a foundation is laid for selecting the optimal allocation model.

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