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
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author Uchiyama, Yusuke
Kadoya, Takanori
Nakagawa, Kei
author_facet Uchiyama, Yusuke
Kadoya, Takanori
Nakagawa, Kei
author_sort Uchiyama, Yusuke
collection PubMed
description 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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spelling pubmed-75146022020-11-09 Complex Valued Risk Diversification Uchiyama, Yusuke Kadoya, Takanori Nakagawa, Kei Entropy (Basel) Article 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. MDPI 2019-01-28 /pmc/articles/PMC7514602/ /pubmed/33266835 http://dx.doi.org/10.3390/e21020119 Text en © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Uchiyama, Yusuke
Kadoya, Takanori
Nakagawa, Kei
Complex Valued Risk Diversification
title Complex Valued Risk Diversification
title_full Complex Valued Risk Diversification
title_fullStr Complex Valued Risk Diversification
title_full_unstemmed Complex Valued Risk Diversification
title_short Complex Valued Risk Diversification
title_sort complex valued risk diversification
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7514602/
https://www.ncbi.nlm.nih.gov/pubmed/33266835
http://dx.doi.org/10.3390/e21020119
work_keys_str_mv AT uchiyamayusuke complexvaluedriskdiversification
AT kadoyatakanori complexvaluedriskdiversification
AT nakagawakei complexvaluedriskdiversification

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