Proactive Structural Asset Prices
, Risks Valuation Simulation Maximize Risks Adjusted Return for
Strategic Global Sovereign Fund Asset Allocation
* Fenglan Zhang, Zhejiang University, , China joycezhang001@yahoo.com.cn,
Warren Huang OSA
Global Strategic Management, San
Francisco, Ca., USA
Website :www.osawh.com / www.osaglobalstrategicmanagement.com email: wh3928@yahoo.com
Abstract
This paper provide the what , why, how and timing of global sovereign wealth fund mulit-class asset allocation, portfolio selection, to maximize the risk adjusted return in current global credit, financial crisis, recession.
Trillion of dollar loss can be avoided by our proactive, structural global housing mortgage, RMBS, CMBS, CDO, derivatives, equities, oil, commodities, bond asset pricing and risk valuation mechanism, through tracking simulate global monetary, economic, fiscal policy impact on macro, financial, industrial economic, asset demand, price mechanism. It predicted years, month ahead of the emerging credit , financial crisis and asset prices bubble
This paper demonstrated Huang’s 30 years pioneering proactive, structural global macro, financial, industrial econometrics integration ,simulation, tracking last 20 years global economic boom and bust recession cycles assets prices bubbles bursts resulted credit, financial crisis, recession contagion in Sovereign wealth fund asset allocation loss, early warning Operations Simulation Analysis (OSA).
Thousands simulators integrating economic fundamentals into proactive structural dynamic high frequency ( short term ) and low frequency (long term )quantitative expert systems.
Huang directed Zhang performed E-Spline GARCH with Granger co-integration causes and consequences macro and financial, industrial econometrics analysis models have been developed, implemented for China, Taiwan , Singapore sovereign wealth fund asset allocation, investment risks valuation, early warning These models tracking forecast, predicted financial market housing, equities, commodities assets prices valuation mechanism and the causes, onset, spread, rescue, intervention impact on housing, credit, financial crisis, recession and residential, commercial mortgage loan, RMBS, CMBS, CDO, CDS default crisis , profit and loss performance write down, bankruptcy stock prices, with average error below 2 %, correlation greater than 0.96
Huang warned current US and global credit financial crisis, recession on Asian/China Finance, Capital Market Conference in Singapore, Shanghai, Beijing to QFII executive Nov. 2003, indicated US and global excessive rate cuts, caused soaring housing, stock, commodities asset prices bubbles through 2007 resulted skyrocketing housing price bubble burst in US resulted subprime crisis , spread to credit, financial crisis.
He warned to June 2007 , Beijing, University international financial risk management top global investment bankers, and Aug, on Wall Street Journal Economic, Market Beat blog and March 5, 2008 Pudong, China Fund World 2008 to global top Sovereign Wealth Fund, mutual fund managers that Global Housing price bubble burst, prices plunge 30 % into 2009, drag global economy into recession and stocks bond, oil, commodities, metals ,Derivative Asset Prices Bubbles Burst with 50 %-70 % bear market correction ,with Global SWF fund invested in banking, finance shares facing 70-90 % mortgage, banking, finance correction, enter deep recession by year end 2008. despite global central banks rate cuts and US 700 billion and ECB 2.3 trillion bail out plan.
Specific applications to early warning year ahead of 70- 90 % investment loss China investment Corp Black Stone and Morgan Stanley and Singapore Government investment Corp’s Merrill Lynch and Citigroup.
Keyword :Proactive structural, Global Sovereign Wealth Fund multiclass asst allocation US/China/Global, Economic recession cycles, housing , bond, commodities, equities asset price bubbles burst, credit, financial crisis instability , asset price, risk valuation mechanism, early warning Operations Simulations Analysis,
* Present Address : Investment Consultant, China Merchant Bank Securities, Shanghai, China
Submitted to 8th ANNUAL DARDEN INTERNATIONAL FINANCE CONFERENCE , March, 2009, Washington