Risk Factor Model Portfolios for Retail Investors
Lead Research Organisation:
University of Southampton
Department Name: Southampton Business School
Abstract
The aims of the project are to: (i) develop a state-of-the-art bespoke multi-factor risk model to assess risk profiles of financial assets and mutual funds; (ii) utilise state-of-the-art machine learning and agent-based modelling techniques to identify the least-cost means of creating asset portfolios which match investors' risk -appetite and (iii) create a novel methodology for combining macro-level forecasts for asset classes, geographic regions and investment styles within a risk-controlled framework.
People |
ORCID iD |
| Frank McGroarty (Primary Supervisor) | |
| William Lewis (Student) |
Studentship Projects
| Project Reference | Relationship | Related To | Start | End | Student Name |
|---|---|---|---|---|---|
| EP/N509747/1 | 01/10/2016 | 30/09/2021 | |||
| 1931289 | Studentship | EP/N509747/1 | 01/10/2017 | 31/12/2020 | William Lewis |
| Description | We have developed a better understanding of the factors driving financial markets and developed a new framework for reducing exposure to potential sources of risk by combining some of the latest innovations in the literature. We have tested a number of approaches and provided a simple methodology for practitioners to implement. |
| Exploitation Route | The main target for this work is practitioners in the investment industry who can use our ideas to drive returns and protect clients from risk. |
| Sectors | Financial Services, and Management Consultancy |