MODELING ASSET PRICES FROM HISTORICAL DATA

摘要

Systems and methods are provided for projecting the performance of a portfolio drawn from an available plurality of assets. A plurality of time series of values for the plurality of assets are sampled over a defined period. The plurality of times series of values are concatenated, at a corresponding plurality of points of concatenation, to provide a synthetic time series. A volatility model is applied at each of the plurality of points of concatenation, such that a first set of values of the synthetic time series that follow the point of concatenation are altered at least in part according to a correlation matrix generated from a second set of values of the synthetic time series that precede the point of concatenation. The performance of the portfolio is simulated from the synthetic time series to provide a projected value of the portfolio at a selected goal horizon.