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Complex Valued Risk Diversification

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  • Yusuke Uchiyama
  • Takanori Kadoya
  • Kei Nakagawa

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 constrains 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 is verified to outperform the conventional risk parity and risk diversification portfolio constructions.

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  • Yusuke Uchiyama & Takanori Kadoya & Kei Nakagawa, 2018. "Complex Valued Risk Diversification," Papers 1810.04370, arXiv.org.
    • Handle: RePEc:arx:papers:1810.04370
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    File URL: http://arxiv.org/pdf/1810.04370
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    References listed on IDEAS

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    1. Ludan Theron & Gary van Vuuren, 2018. "The maximum diversification investment strategy: A portfolio performance comparison," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1427533-142, January.
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