APPARATUS FOR RISK DATA SUPPLEMENT TO MULTIFACTOR MODEL

摘要

PROBLEM TO BE SOLVED: To provide a data supplement apparatus that can supplement missing data in a method reflecting actual conditions.

SOLUTION: The data supplement apparatus comprises storing means, and risk calculating means for: if time series data on an individual brand are fewer than a standard number of data N, calculating a sector average factor risk σ and supplementing them with the sector average factor risk σ to output a brand factor risk; or if time series data on a factor are fewer than the standard number of data N, if brand-specific factor return data are not fewer than a necessary number of data Nsolo, using effective data to output a brand factor risk, a covariance and a correlation coefficient, or if the brand-specific factor return data are fewer than the necessary number of data Nsolo, supplementing the factor return data fk on and a sector average residual Avgseckof the target sector with brand-specific factor return data fk on and a sector average residual Avgseckof the target sector to output a brand factor risk, a covariance and a correlation coefficient.

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