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.

Publications

10 25 50

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 30/09/2020 William Nicholas 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