Question B is based on the construction of a large-scale asset allocation strategy based on the macroeconomic cycle
Introduction to the background of the competition:
Competition data description:
Question 1. Find high-frequency and effective macroeconomic indicators, and divide the domestic macroeconomic operation status from 2001 to 2021 into different economic states; (for example, the Merrill Lynch clock frame divides the macroeconomic operation status into recession, recovery, Four economic states of overheating and stagflation) require at least two or more macroeconomic indicators to be selected.
Thinking analysis:
This question can be broken down into two small questions.
The first question is: Find out the high-frequency and effective macroeconomic indicators.
The second question is: Based on the macroeconomic indicators, divide the economic status from 2001 to 2021
. In the first question, factor analysis can be used to analyze the principal components of the variables, analyze the weight ratio of the indicators, and extract the most suitable economic indicators . , 2 questions) data integration can unify the index items.
The second question can divide the economy into several grades through the comprehensive evaluation method, such as based on input-output analysis, and divide the operating status by analyzing the efficiency of macroeconomic indicators, etc.
Question 2. Use a macroeconomic model or other mathematical models to simulate China's economic growth, inflation, interest rates (reflecting the degree of tightness of monetary policy) and other macroeconomic environments in the next five years, and explain that China will face economic conditions in the next five years. Question 1 What economic state is in the divided economic state.
Thinking analysis:
This question can also be disassembled into two questions:
the first question is: simulate and predict China's macroeconomic environment in the next five years The
second question is: based on the first question, divide the economic situation that China will face in the next five years Status
The key point of the first question is the accuracy of fitting. Combining machine learning + heuristic algorithm tuning can get higher scores.
The second question can be directly applied to the first question and then divided
Question 3. Select four indexes that can represent four types of assets (stocks, commodities, bonds, cash and their equivalents), and predict the risk-return characteristics of the large-scale asset indexes in various economic states divided in the first question ( Expected return, standard deviation of return, Sharpe ratio or others), and correlation between broad asset class indices.
Thinking analysis:
This question can be disassembled into three questions:
the first question is: select four indexes that can represent four types of assets (stocks, commodities, bonds, cash and their equivalents) The
second question is: analyze The risk-return characteristics of the macro-indicators in various economic states divided by the four types of indices in the first question The
third question is: to analyze the correlation between the major asset types indices.
For the first question, you can apply the problem-solving method of the first question in 2.1. For the
second question, you need to know what the risk-return characteristics refer to? The risk-return feature refers to the analysis of the relationship between risk and return. We can calculate the risk and return through expected return, standard deviation of return rate, Sharpe ratio or other indicators, and then synthesize them into one indicator to represent or measure various economic The risk-return characteristic Y in the state, and then the index obtained in the first question is X, and Y is the risk-return characteristic Y, and the regression analysis and prediction are continued.
The third is to analyze the correlation between major asset indices on the basis of the first question
Question 4. Based on the domestic economic status predicted by your model in the next five years, select a suitable major asset index to construct a portfolio, and predict the risk-return characteristics of the portfolio
Thinking analysis:
This question can also be disassembled into two questions:
the first question is: the predicted domestic economic status in the next five years, and the
second question is: select the appropriate major asset index to construct the investment portfolio, and For the first question, you can refer to 2.2 to predict the risk-return characteristics of the investment portfolio.
First, predict the indicators, and then divide the economic status
. Get the combination weight and substitute it into Question 2 of 2.3 to predict the risk-return characteristics
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