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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2019
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| Materias: | |
| 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 |