Complex Valued Risk Diversification

Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constraints, including expected returns. We propose a portfolio construction method that incorporates the complex valued pr...

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Detalles Bibliográficos
Autores principales: Uchiyama, Yusuke, Kadoya, Takanori, Nakagawa, Kei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2019
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514602/
https://www.ncbi.nlm.nih.gov/pubmed/33266835
http://dx.doi.org/10.3390/e21020119
Descripción
Sumario:Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constraints, including expected returns. We propose a portfolio construction method that incorporates the complex valued principal component analysis into the risk diversification portfolio construction. The proposed method was verified to outperform the conventional risk parity and risk diversification portfolio constructions.

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