| dc.contributor.advisor | Andrew W. Lo. | en_US |
| dc.contributor.author | Kim, Dongyoung, M. Eng. Massachusetts Institute of Technology | en_US |
| dc.contributor.other | Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science. | en_US |
| dc.date.accessioned | 2016-12-22T16:29:37Z | |
| dc.date.available | 2016-12-22T16:29:37Z | |
| dc.date.copyright | 2016 | en_US |
| dc.date.issued | 2016 | en_US |
| dc.identifier.uri | http://hdl.handle.net/1721.1/106115 | |
| dc.description | Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2016. | en_US |
| dc.description | Cataloged from PDF version of thesis. | en_US |
| dc.description | Includes bibliographical references (pages 69-70). | en_US |
| dc.description.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. | en_US |
| dc.description.statementofresponsibility | by Dongyoung Kim. | en_US |
| dc.format.extent | 70 pages | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Massachusetts Institute of Technology | en_US |
| dc.rights | M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. | en_US |
| dc.rights.uri | http://dspace.mit.edu/handle/1721.1/7582 | en_US |
| dc.subject | Electrical Engineering and Computer Science. | en_US |
| dc.title | Spectral factor model and risk analysis | en_US |
| dc.type | Thesis | en_US |
| dc.description.degree | M. Eng. | en_US |
| dc.contributor.department | Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science | |
| dc.identifier.oclc | 965797043 | en_US |
