Computer-implemented systems and methods for modeling risk of an investment portfolio

摘要

Computer-based systems and methods are disclosed that generally relate to risk modeling for investment portfolios, such as equity investment portfolios. For example, a factor covariance matrix for a particular investment portfolio can be adjusted for known biases, including non-stationarity bias and optimization bias. In addition, new techniques for computing specific volatilities and relative specific volatilities for assets in a particular investment portfolio are disclosed.

主权项

1. A computer-implemented method for modeling risk of an investment portfolio, the method comprising:
computing, by a computer system, a factor covariance matrix for the investment portfolio, wherein the factor covariance matrix comprises a plurality of elements that are representative of a covariance of factor returns for the investment portfolio for two of a plurality of factors, wherein the plurality of factors are used to model risk of the investment portfolio, and wherein the computer system comprises at least one processor and operatively associated memory; adjusting, by the computer system, a diagonal covariance matrix comprising eigenfactors of the factor covariance matrix to generate an adjusted diagonal covariance matrix; transforming, by the computer system, the adjusted diagonal covariance matrix to a non-diagonal adjusted factor covariance matrix; and computing, by the computer system, a risk for the investment portfolio based on at least the non-diagonal adjusted factor covariance matrix.