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1. 发明申请

WO2012116309A3 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：WO2012116309A3
公开(公告)日：2014-04-24
申请号：PCT/US2012026581
申请日：2012-02-24
申请人： RES AFFILIATES LLC , HSU JASON C , LI FEIFEI , SHAKERNIA OMID , BIANGOLINO DENIS
发明人： HSU JASON C , LI FEIFEI , SHAKERNIA OMID , BIANGOLINO DENIS
IPC分类号： G06Q40/00
CPC分类号： G06Q40/06
摘要： Constructing, by at least one processor, data indicative of an optimized factor portfolio may include: receiving, by the at least one processor, data about a plurality of monthly returns for multiple years for a universe of asset classes; receiving, by the at least one processor, data about investment returns; extracting, by the at least one processor, a plurality of orthogonal risk factors, at least one factor characteristic, and an asset class-factor translation matrix by principal component analysis from the data about the universe of asset classes; and optimizing, by at least one processor, to determine the optimized factor portfolio; constructing, by the at least one processor, an investible custom mimicking portfolio based on the optimized factor portfolio, and at least one of any portfolio constraints, or any portfolio specifications, may include rebuilding using the asset class-factor translation matrix and an optimization process based on the investment returns.
摘要翻译：由至少一个处理器构建指示优化因子组合的数据可以包括：由至少一个处理器接收关于资产类别的世界的多个月的多个月回报的数据; 由至少一个处理器接收关于投资回报的数据; 由所述至少一个处理器从关于资产类别的数据的主要成分分析中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; 以及通过至少一个处理器优化以确定所述优化因子组合; 由所述至少一个处理器构建基于优化因子组合的可投资定制模拟投资组合，并且任何投资组合约束或任何投资组合规范中的至少一个可以包括使用资产类别因子转换矩阵和优化过程进行重建基于投资回报。

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