Methods and Apparatus for Generating Purified Minimum Risk Portfolios

Methods and Apparatus for Generating Purified Minimum Risk Portfolios

The quantitative construction of investment portfolios of securities such as stocks, bonds, or the like using optimization is addressed. More specifically, during optimization, constraints on non-target factor exposures are automatically converted to constraints on the exposure of the projections of...

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Bibliographische Detailangaben
1. Verfasser: RENSHAW ANTHONY A
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:The quantitative construction of investment portfolios of securities such as stocks, bonds, or the like using optimization is addressed. More specifically, during optimization, constraints on non-target factor exposures are automatically converted to constraints on the exposure of the projections of the non-target factors that are orthogonal to a specified target factor. The target factor may be the implied alpha of a reference portfolio, such as a traditional minimum risk portfolio. Such constraints may be utilized to produce portfolios with superior performance to those produced with traditional factor exposure constraints.