TITLE:
Optimization of Asset Allocation Strategies in Major Categories—Theories, Indicators, Assets and Timing
AUTHORS:
Zedong Cai, Linjie Wang, Mengyue Qian
KEYWORDS:
Pringle’s Periodic Theory, Indicators, Assets Allocation, Timing
JOURNAL NAME:
Open Journal of Social Sciences,
Vol.11 No.1,
January
17,
2023
ABSTRACT: Due to
the defects of Merrill Lynch Clock, this paper aims to put forward Pringle
Clock for theoretical improvement. In addition, strategic optimization for
Pringle from perspectives including indicators, assets and timing is made, and
finally its effectiveness in domestic market is tested. The results show as
follows. 1) Stages of the Pringle
cycle divided by three indexes (leading, consistent and lagging) can accurately
grasp allocation opportunities of assets in different categories. 2) Researches and investments in the subdivided
industries of the equity market are conducive to improving portfolio returns,
and Markowitz mean-variance model can be used for portfolio optimization. 3) Selecting appropriate leading interest rate indicators
(by using wavelet cross analysis) and predicting the characteristics of the
next stage in advance (by using VAR model) are of great help to improve the
flexible timing ability of the asset allocation strategies.