四元数值风险分散化。

Quaternion Valued Risk Diversification.

作者信息

Sugitomo Seisuke, Maeta Keiichi

机构信息

Fund Manager at Epic Partners Investment Co., Ltd., Tokyo 100-0013, Japan.

Graduate School of Mathematical Sciences, University of Tokyo, Tokyo 113-8654, Japan.

出版信息

Entropy (Basel). 2020 Mar 29;22(4):390. doi: 10.3390/e22040390.

DOI:10.3390/e22040390

PMID:33286164

原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7516864/

Abstract

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. , , 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.

摘要

风险分散是投资组合经理的一个重要课题。人们已经开发了各种投资组合优化算法，以在一定约束条件下将投资组合风险降至最低。作为内山、门谷和中川在2019年1月提出的复杂风险分散投资组合（汤介等，，，119）的扩展，我们提出了一种纳入四元数风险的风险分散投资组合构建方法。我们表明，所提出的方法优于传统的复杂风险分散投资组合方法。