Abstract: Investmentinstitution can take some asset allocation strategy to change the risk of paying return guarantees.Therefore,the risk of return guarantees should be associated with asset allocation strategy.This paper proposes a new approach combined with asset allocation strategy,through which we respectively obtain analytical solution of risk under constant-mix(CM)and constant proportion portfolio insurance(CPPI)strategies.Then,we prove the feasibility and rationality of the new approach through empirical studies. According to the new approach, the risk calculated can change with asset allocation strategy or strategy parameters,which will help investmentinstit ution and regulatory agency to guard against financial risk better and improve the efficiency of risk management.

Key words: value at risk, asset allocation strategy, return guarantees