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Purifying Portfolios Using Orthogonal Non-Target Factor Constraints
Purifying Portfolios Using Orthogonal Non-Target Factor Constraints
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机译:使用正交非目标因子约束净化投资组合
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摘要
The quantitative construction of investment portfolios of securities such as stocks, bonds, or the like using optimization is addressed. More specifically, during optimization constraints on non-target factor exposures are automatically converted to constraints on the exposure of the projections of the non-target factors that are orthogonal to a specified target factor. Such constraints may be utilized to produce portfolios with superior performance to those produced with traditional factor exposure constraints.
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