EQUIPMENT FOR DATA PROCESSING AND A METHOD FOR DETERMINING THE WEIGHTINGS OF CONSTITUENTS OF A TARGET PORTFOLIO

摘要

Equipment for data processing comprises a first input device for acquiring historical data of constituents of a defined investment universe, a storage for placing the acquired historical data in a first data structure, a first processor for generating a second data structure which corresponds to a subset of the first data structure selected according to specifiable criteria, wherein the second data structure is placed in the storage. The equipment further comprises a predictor for estimating a future volatility of the constituents of the second data structure, a second processor for generating a third data structure that is determined from the estimated future volatility. A third processor generates a fourth data structure that corresponds to an interpolation between the second data structure and the third data structure. Information based on the fourth data structure comprises weightings of constituents of a target portfolio.