复值风险分散化

Complex Valued Risk Diversification.

作者信息

Uchiyama Yusuke, Kadoya Takanori, Nakagawa Kei

机构信息

MAZIN, Inc., 1-60-20 Minami-Otsuka, Toshima-ku, Tokyo 170-0005, Japan.

Nomura Asset Management Co., Ltd. 1-21-1, Nihonbashi, Chuo-ku, Tokyo 103-8260, Japan.

出版信息

Entropy (Basel). 2019 Jan 28;21(2):119. doi: 10.3390/e21020119.

DOI:10.3390/e21020119

PMID:33266835

原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7514602/

Abstract

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.

摘要

风险分散是投资组合经理最主要的关注点之一。人们已经提出了各种投资组合构建方法，以在包括预期回报在内的某些约束条件下将投资组合的风险降至最低。我们提出了一种投资组合构建方法，该方法将复值主成分分析纳入风险分散投资组合构建中。经证实，所提出的方法优于传统的风险平价和风险分散投资组合构建方法。