Risk Factor Model Portfolios for Retail Investors

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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.