Quaternion Valued Risk Diversification

Risk diversification is an important topic for portfolio managers. Various portfolio optimization algorithms have been developed to minimize portfolio risk under certain constraints. As an extension of the complex risk diversification portfolio proposed by Uchiyama, Kadoya, and Nakagawa in January 2...

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Detalles Bibliográficos
Autores principales: Sugitomo, Seisuke, Maeta, Keiichi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516864/
https://www.ncbi.nlm.nih.gov/pubmed/33286164
http://dx.doi.org/10.3390/e22040390
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author Sugitomo, Seisuke
Maeta, Keiichi
author_facet Sugitomo, Seisuke
Maeta, Keiichi
author_sort Sugitomo, Seisuke
collection PubMed
description Risk diversification is an important topic for portfolio managers. Various portfolio optimization algorithms have been developed to minimize portfolio risk under certain constraints. As an extension of the complex risk diversification portfolio proposed by Uchiyama, Kadoya, and Nakagawa in January 2019 (Yusuke et al. Entropy. 2019, 21, 119.), we propose a risk diversification portfolio construction method which incorporates quaternion risk. We show that the proposed method outperforms the conventional complex risk diversification portfolio method.
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spelling pubmed-75168642020-11-09 Quaternion Valued Risk Diversification Sugitomo, Seisuke Maeta, Keiichi Entropy (Basel) Article Risk diversification is an important topic for portfolio managers. Various portfolio optimization algorithms have been developed to minimize portfolio risk under certain constraints. As an extension of the complex risk diversification portfolio proposed by Uchiyama, Kadoya, and Nakagawa in January 2019 (Yusuke et al. Entropy. 2019, 21, 119.), we propose a risk diversification portfolio construction method which incorporates quaternion risk. We show that the proposed method outperforms the conventional complex risk diversification portfolio method. MDPI 2020-03-29 /pmc/articles/PMC7516864/ /pubmed/33286164 http://dx.doi.org/10.3390/e22040390 Text en © 2020 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
Sugitomo, Seisuke
Maeta, Keiichi
Quaternion Valued Risk Diversification
title Quaternion Valued Risk Diversification
title_full Quaternion Valued Risk Diversification
title_fullStr Quaternion Valued Risk Diversification
title_full_unstemmed Quaternion Valued Risk Diversification
title_short Quaternion Valued Risk Diversification
title_sort quaternion valued risk diversification
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516864/
https://www.ncbi.nlm.nih.gov/pubmed/33286164
http://dx.doi.org/10.3390/e22040390
work_keys_str_mv AT sugitomoseisuke quaternionvaluedriskdiversification
AT maetakeiichi quaternionvaluedriskdiversification

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