| 摘要 |
A system and method for providing reallocation and reverse optimization of a financial portfolio using a parametric leptokurtic distribution are provided. A time series including risk factors applicable over at least one time horizon, a portfolio including financial assets, a quantile, and one or more risk adjusted return points for the financial assets is stored. The financial assets are associated with the risk factors. A subordinated parametric distribution model exhibiting leptokurtic behavior is generated. A function of expected tail loss for the quantile based on the subordinated parametric distribution model exhibiting leptokurtic behavior is expressed. A set of portfolio asset weight changes for each of the financial assets is determined based on the expected tail loss at each such time horizon and for each risk adjusted return point. Reallocation of the portfolio is provided based on the portfolio asset weight changes for each risk adjusted return point for the portfolio.
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