Abstract
In today such a rapidly-changing financial environment, people should take more serious attitude toward their asset allocation. When people meet the shock of contingency, sometimes their assets will shrink in a large way, or just turned into foam, even become a debt. So how actually should people use their scanty resources to do the best asset allocation strategy is very important. Sometimes, an unexpected event shock like the financial crisis may just make investor’s asset become nothing. So we try to explain financial market by using the event-risk model, which is proven have good explanation for the market event, and we add utility function to analyze the optimum investment portfolio weight. In the past, the asset allocation problems are usually based on mathematical derivation to get the closure form, but if the problems become more complex, the closure form will be more difficult to get. So we try to avoid the mathematical analysis method, using computer simulation method to discuss the optimum portfolio weight issue, try to prove this method can be another way to analyze the asset allocation issue as mathematical method.