Spectral factor model and risk analysis

Author(s)
Kim, Dongyoung, M. Eng. Massachusetts Institute of Technology
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Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science.
Advisor
Andrew W. Lo.
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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).
 
Date issued
2016
URI
http://hdl.handle.net/1721.1/106115
Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Publisher
Massachusetts Institute of Technology
Keywords
Electrical Engineering and Computer Science.
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