中文摘要：

针对传统投资组合在实践中存在固有的不足和局限性,本文通过引入因子分析方法,构建了基于风险因子的风险平价投资策略。该策略使得所有资产的风险都可以测量和相互比较,从而让投资者可以更好地理解和刻画投资组合的风险来源和结构,并预先实施积极的风险管理,通过控制风险因子上的风险贡献来实现风险分散化,避免风险预算＂陷阱＂。实证结果表明,与其它经典投资策略相比,该投资策略使得投资组合的风险更加分散化,并表现出更好的投资业绩。

英文摘要：

To improve the practical efficiency of traditional portfolio theory, this paper investigates a risk parity investment strategy based on risk factors analysis. Using this strategy, the risk of all assets can be measured and compared. Thus investors can deeply understand the risk sources and structure of the portfolio. Moreover, the risk contributed from the risk factors can be controlled to achieve risk diversification and avoid risk budgeting trap. Finally, the empirical results show that this investment strategy achieves better risk diversification and better performance than other classical investment strategies.