SYSTEM AND METHOD FOR RISK MANAGEMENT AND PORTFOLIO OPTIMIZATION

摘要

A processor-based analytical system accesses financial data for a group of assets over a plurality of time periods and identifies relationship characteristics for the financial data during those time periods. The system compares the relationship characteristics to compute pair-wise similarity measures, which are used to group different time periods into states. The system also accesses information identifying an investment portfolio, such as information identifying particular assets in that portfolio as well as the weightings of those assets in the portfolio. The system evaluates the performance of the portfolio in the states. The system alters the investment portfolio by altering the weightings of the assets in the investment portfolio in order to achieve a predetermined investment goal.

主权项

1. A processor-based system for portfolio management, the system comprising:
a first tangible, non-transitory storage medium adapted to store sets of time series of financial data for a predefined group of investment assets, the sets of time series spanning a set of predefined time periods; a second tangible, non-transitory storage medium adapted to store information identifying assets in an investment portfolio; one or more processors operatively coupled to the first tangible, non-transitory storage medium to access the sets of time series of financial data and to the second tangible, non-transitory storage medium to access the information identifying assets in the investment portfolio, the one or more processors being adapted to:
compute a plurality of relationship characteristics with respect to the financial data for the predefined group of investment assets, with each relationship characteristic of the plurality of relationship characteristics corresponding to a time period of the plurality of predefined time periods;compute pair-wise similarity measures between each of the relationship characteristics;determine groupings of similar relationship characteristics using the pair-wise similarity measures in order to define a plurality of states; andevaluate the investment portfolio in at least one of the plurality of states by computing a performance measure based on the financial data time series for each asset in the investment portfolio in the at least one state of the plurality of states.