Spectral factor model and risk analysis
Name
965797043-MIT.pdf
Description
Full printable version
Size
7.24 MB
Format
Adobe PDF
Checksum (MD5)
483d7a72c341066c6a195c7bd5e91ab1
Author(s)
Kim, Dongyoung, M. Eng. Massachusetts Institute of Technology
Advisor(s)
Andrew W. Lo.
Date Issued
2016
Publisher
Massachusetts Institute of Technology
Abstract
In this paper, we apply spectral analysis tools to portfolio management. Recognizing volatility and factor beta as major risk sources, we analyze the short-term and longterm components of risk for any given portfolio. We model the portfolio weights as an LTI system filter and describe how the risk metrics behave as one holes the portfolio over increasing horizon. Then, we propose dynamic portfolios to shift frequency-specific risks without changing the investment period or net dollar exposure.
Description
Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2016.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 69-70).
Subjects
Electrical Engineering and Computer Science.
MIT Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Terms of Use
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