Spectral Factor Model and Risk Analysis
نویسندگان
چکیده
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 dynarmic portfolios to shift frequencyspecific risks without changing the investment period or net dollar exposure. Thesis Supervisor: Andrew W. Lo Title: Charles E. and Susan T. Harris Professor
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