這篇論文主要研究的是Wouter J. Keller et al.（2013和2014）的MAA模型(現代資產配置模型)於大中華地區,包括中國大陸、香港和台灣地區的證券市場的運用。第一步，我們會介紹MAA模型是如何從Markowitz (1952) 的MPT現代投資組合理論延伸過來的。其中，將會說明MPT“策略型”資產配置與MAA“戰術性”資產配置的基本不同。第二步，我們將利用SIM單指數因子模型(Elton et al., 1976)構建一種只能做多的夏普比率最大化的資產配模型，也就是MAA的基本模型。第三步，為了模型的實用性，我們將MAA公式中的回報估計值、波動估計值、相關係數估計值做市場均值的緩衝調整。而且，在一些特殊的比例下，我們得到MV（最小波動度）以及MD（最大多樣化）的資產配置模型以及EW（均權）模型，其中，EW模型也是本篇文章所用到的基準指數模型，這些就是所謂的“smart-beta”模型。
最後,我們將此模型運用於中國大陸、香港和台灣的股票指數ETF、債券指數ETF和REITs，週期從2006年1月到2015年3月，每月調整一次資產比例。實證結果顯示，MAA模型能夠擊敗各種smart-beta模型，而其他smart-beta模型都能勝過EW模型。

In this paper we will explore the application of the MAA (modern asset allocation) models to the securities markets of Greater China (including Mainland China, Hong Kong and Taiwan). In our first step, we introduce the evolution of Modern Portfolio Theory (Markowitz, 1952) to the Modern Asset Allocation Model (Keller et al., 2013 and 2014), and we illustrate the main difference between “strategic and “tactical” asset allocation. As in our second step, we get the basic MAA model by using the single index model (Elton et al., 1976) to arrive at an analytical solution for a long-only maximum Sharpe allocation. In our third step, we use shrinkage estimators in our formula for asset returns, volatilities and correlations to arrive at practical allocations. In addition, as a special cases, we arrive at Minimum Variance (MV), Maximum Diversification (MD) and EW (Equal Weight), and the EW model is our benchmark model. These MV, MD, EW models are sometimes called “smart-beta” models.
Finally, we apply the different models to the stock index ETFs, bond index ETFs and REITs of Mainland China, Hong Kong and Taiwan with the daily data from Jan. 2006 to Feb.2015, monthly rebalanced. The empirical results show that MAA models beat other models consistently on various return /risk criteria, with the general smart-beta models (with return momentum) also beating the EW model.

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