Paper ID: 2311.16004

Improved Data Generation for Enhanced Asset Allocation: A Synthetic Dataset Approach for the Fixed Income Universe

Szymon Kubiak, Tillman Weyde, Oleksandr Galkin, Dan Philps, Ram Gopal

We present a novel process for generating synthetic datasets tailored to assess asset allocation methods and construct portfolios within the fixed income universe. Our approach begins by enhancing the CorrGAN model to generate synthetic correlation matrices. Subsequently, we propose an Encoder-Decoder model that samples additional data conditioned on a given correlation matrix. The resulting synthetic dataset facilitates in-depth analyses of asset allocation methods across diverse asset universes. Additionally, we provide a case study that exemplifies the use of the synthetic dataset to improve portfolios constructed within a simulation-based asset allocation process.

Submitted: Nov 27, 2023