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SYSTEMS AND METHODS FOR PORTFOLIO CONSTRUCTION, INDEXING AND RISK MANAGEMENT BASED ON NON-NORMAL PARAMETRIC MEASURES OF DRAWDOWN RISK
SYSTEMS AND METHODS FOR PORTFOLIO CONSTRUCTION, INDEXING AND RISK MANAGEMENT BASED ON NON-NORMAL PARAMETRIC MEASURES OF DRAWDOWN RISK
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机译：基于非常规风险度量参数的证券投资组合构建，索引和风险管理的系统和方法
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摘要
A system, method and computer program for processing financial data in order to calculate and use new non-normal parametric measures of drawdown risk is disclosed, as well as a new set of portfolios construction techniques where the weights assigned to each single constituent asset are derived from this new measures. Risk measures based on drawdowns haven't received the extensive attention and use devoted to other common risk measures, due to the lack of an analytical understanding regarding how the drawdowns of a portfolio are related to those of its constituents. The present invention propose a solution to fill that gap, by developing: a new drawdown risk budgeting framework useful for portfolio allocation based on the drawdown contribution (marginal, total) to portfolio drawdown risk and drawdown correlation of its constituents; 4 different risk-based portfolio construction techniques useful for passive, enhanced-indexing and active portfolio management.
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