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1. 发明申请

US20120246094A1 SYSTEM, METHOD & COMPUTER PROGRAM PRODUCT FOR CONSTRUCTING AN OPTIMIZED FACTOR PORTFOLIO 审中-公开
标题翻译：用于构建优化因子组合的系统，方法和计算机程序产品
公开(公告)号：US20120246094A1
公开(公告)日：2012-09-27
申请号：US13403899
申请日：2012-02-23
申请人： Jason C. Hsu , Feifei Li , Omid Shakernia , Denis Biangolino Chaves
发明人： Jason C. Hsu , Feifei Li , Omid Shakernia , Denis Biangolino Chaves
IPC分类号： G06Q40/06
CPC分类号： G06Q40/06
摘要： A system, method or computer program product for electronically constructing data indicative of an investible risk factor portfolio is disclosed. The method may include: constructing, by a processor(s), data indicative of an optimized factor portfolio, which may include: receiving data about a plurality of monthly returns for multiple years for a universe of asset classes; receiving data about investment returns; extracting a plurality of orthogonal risk factors, at least one factor characteristic, and an asset class-factor translation matrix by principal component analysis (PCA) from the data about the universe of asset classes; and optimizing to determine the optimized factor portfolio; constructing an investible custom mimicking portfolio based on the optimized factor portfolio, and any portfolio constraints, or any portfolio specifications, may include rebuilding using the asset class-factor translation matrix and an optimization process based on investment returns; and providing data indicative of the custom mimicking investible portfolio.
摘要翻译：公开了一种用于电子构建表示可投资风险因素组合的数据的系统，方法或计算机程序产品。该方法可以包括：由处理器构建指示优化因子投资组合的数据，其可以包括：接收关于多个资产类别的多年的多个月回报的数据; 收到有关投资回报的数据; 从资产类别的数据中通过主成分分析（PCA）提取多个正交危险因素，至少一个因素特征和资产类别因素转换矩阵; 并优化确定优化因子组合; 基于优化因素组合构建可投资定制模拟投资组合，任何投资组合约束或任何投资组合规范可能包括使用资产类别因素转换矩阵进行重建，以及基于投资回报的优化流程; 并提供表示自定义模拟投资组合的数据。

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