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    • 12. 发明申请
    • Risk Factor Splitting
    • 风险因素分解
    • US20160086278A1
    • 2016-03-24
    • US14495470
    • 2014-09-24
    • Anthony A. Renshaw
    • Anthony A. Renshaw
    • G06Q40/06G06Q40/04
    • G06Q40/06G06Q40/04
    • Factor-based performance attribution results are often used to identify portfolio exposures or bets that either perform well or underperform. By identifying particular exposures or bets that appear to be opportune to be increased or reduced, the overall performance of the portfolio can potentially be improved. However, the factors present in standard factor risk models are often too broad to identify exposures or bets which can be easily altered. Changing exposures based on the original risk model factors can involve trading too many stocks, or can involve trading stocks that a portfolio manager may not want to trade. The present invention allows portfolio managers to split the original risk model factors into more granular factors that cover smaller sub-sets of the assets in the portfolio. The over- and under-performing exposures of split factors are often easier to alter in practice and can be used to improve the performance of the portfolio.
    • 基于因素的绩效归因结果通常用于识别投资组合风险敞口或表现良好或表现不佳的投注。 通过确定看起来有助于增加或减少的特定风险敞口或投注,投资组合的整体绩效可能会有所改善。 然而,标准因素风险模型中存在的因素通常太广泛,无法识别易于改变的风险敞口或投注。 基于原始风险模型因素改变风险可能涉及交易太多的股票,或者可能涉及投资组合经理不想交易的交易股票。 本发明允许投资组合经理将原始风险模型因素分解成更细粒度的因素,以涵盖投资组合中较小的资产子集。 分拆因素的过度和不足的风险在实践中往往更容易改变,可用于提高投资组合的表现。