Spectral factor model and risk analysis

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.

Department dc:contributor.department

Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science.

Grantor dc:publisher

Massachusetts Institute of Technology

Year dc:date.issued

2016

Author dc:creator

• Kim, Dongyoung, M. Eng. Massachusetts Institute of Technology

Advisor dc:contributor.advisor

• Andrew W. Lo.

• Electrical Engineering and Computer Science.

Statement 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.

Licence dc:rights.uri

• http://dspace.mit.edu/handle/1721.1/7582

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/1721.1/106115

OAI identifier oai:identifier

oai:dspace.mit.edu:1721.1/106115