SYSTEM AND METHOD FOR RISK MANAGEMENT AND PORTFOLIO OPTIMIZATION

摘要

A processor-based analytical system accesses financial data for a group of assets over a plurality of time periods and identifies relationship characteristics for the financial data during those time periods. The system compares the relationship characteristics to compute pair-wise similarity measures, which are used to group different time periods into states. The system also accesses information identifying an investment portfolio, such as information identifying particular assets in that portfolio as well as the weightings of those assets in the portfolio. The system evaluates the performance of the portfolio in the states. The system alters the investment portfolio by altering the weightings of the assets in the investment portfolio in order to achieve a predetermined investment goal.