Portfolio Construction and Risk Management with Unequal Returns Histories
- Mentors
- Kjell Konis, Yindeng Jiang, Peter Carl, Doug Martin
- Organization
- R project for statistical computing
The goal of this project is to implement the three methods in an “Unequal Histories” package that: (1) facilitates use of the methods in portfolio optimization and risk analysis applications, and (2) supports the comparative study of the efficacy of the three different methods - Multiple Imputation, Factor Model Monte Carlo and Combined Backfilling.