Core Concept - The article emphasizes the importance of understanding the "collaboration" between assets in investment allocation, which is mathematically represented by "correlation" [3][4]. Asset Allocation Principles - Ideal investment portfolios should consist of assets with varying correlations: assets with a correlation close to +1 move together, those with a correlation close to -1 move inversely, and those with a correlation close to 0 operate independently [4]. - The modern portfolio theory proposed by Nobel laureate Harry Markowitz suggests that scientific diversification can significantly reduce risk without sacrificing returns [4]. Mathematical Framework - For perfectly negatively correlated assets (correlation of -1), the allocation ratio should be inversely proportional to their volatility. If two funds have the same volatility, equal allocation is appropriate [5][7]. - If the volatilities differ, the allocation should favor the asset with lower volatility. For example, if Fund A has a volatility of 10% and Fund B has 30%, the optimal allocation would be 75% in Fund A and 25% in Fund B [7]. - For assets with a correlation close to 0, the allocation ratio should be inversely proportional to the square of their volatility. This allows for optimization of the risk-return profile even among uncorrelated assets [10][13]. Investment Insights - Including negatively correlated assets in a portfolio can effectively reduce overall volatility. While perfectly negatively correlated assets are rare, seeking low or negatively correlated assets remains a valid strategy for optimizing investment portfolios [9]. - The article illustrates that even with uncorrelated assets, appropriate weight allocation can enhance the risk-return ratio. For instance, a combination of five uncorrelated assets can reduce volatility significantly compared to individual assets [15]. Addressing Concerns about Returns - The article argues that proper asset allocation does not diminish returns; rather, it can stabilize and enhance them. The key is to select high-performing assets rather than diversifying for the sake of it [17]. - Examples provided include combining U.S. stocks with A-shares, both of which have long-term annualized returns of around 8-10%, resulting in a stable combined return while reducing volatility [17]. Practical Guidelines for Portfolio Construction - Step 1: Diversify across major asset classes such as stocks (high long-term returns, high volatility), bonds (stable returns, low volatility), and commodities (inflation hedge) [21]. - Step 2: Diversify by region and strategy, investing in various markets and styles to mitigate risks [21]. - Step 3: Regularly rebalance the portfolio to maintain the desired asset allocation, selling portions of assets that have appreciated significantly and buying those that have declined [21].

以下文章来源于量化投资 ，作者十拳剑灵 量化投资 . 十拳剑灵｜用数据做多元配置 • 百万实盘翻倍全程公开｜追求年年稳健盈利 • 陪你穿越牛熊 • 一起慢慢变富 " 资产配置 " 听起来很高大上？别怕，其实它的数学原理超级简单！今天我就用最接地气的方式，带你看懂这个让投资收益更稳的秘诀。 我知道你在担心什么： 怕数学太难？怕分散投资会降低收益？ 放心，这些问题我都会帮你解决！ 01 核心概念：理解资产间的 " 团队协作 " 想要做好资产配置，关键要懂资产之间的 " 协作关系 "— 用数学语言说就是 " 相关性 " 。这就像 组建一个全能团队 ： · 同一工种 （相关系数接近 +1 ）：好比团队里全是销售，市场好时一起开单，市场差时一起喝西北风 —— 同涨同跌 · 完美搭档 （相关系数接近 -1 ）：就像销售和风控，业务开拓时销售冲锋，风险来临时风控守护 —— 你进我退，相辅相成 · 各司其职 （相关系数接近 0 ）：如同技术、运营、市场不同部门，各自为战又共同目标 —— 走势独立，互补共赢 理想的投资组合，就是要组建这样的 " 梦幻团队 " 。这背后的数学原理，是诺贝尔奖得主马科维茨提出的现代投资组合理论： ...