Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125687130> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3125687130 abstract "A natural approach to enhance portfolio diversification is to rely on factor-risk parity, which yields the portfolio whose risk is equally spread among a set of uncorrelated factors. The standard choice is to take the variance as risk measure, and the principal components (PCs) of asset returns as factors. Although PCs are unique and useful for dimension reduction, they are an arbitrary choice: any rotation of the PCs results in uncorrelated factors. This is problematic because we demonstrate that any portfolio is a factor-variance-parity portfolio for some rotation of the PCs. More importantly, choosing the PCs does not account for the higher moments of asset returns. To overcome these issues, we propose to use the independent components (ICs) as factors, which are the rotation of the PCs that are maximally independent, and care about higher moments of asset returns. We demonstrate that using the IC-variance-parity portfolio helps to reduce the return kurtosis. We also show how to exploit the near independence of the ICs to parsimoniously estimate the factor-risk-parity portfolio based on Value-at-Risk. Finally, we empirically demonstrate that portfolios based on ICs outperform those based on PCs, and several state-of-the-art benchmarks." @default.
- W3125687130 created "2021-02-01" @default.
- W3125687130 creator A5020784418 @default.
- W3125687130 creator A5029462764 @default.
- W3125687130 creator A5047519193 @default.
- W3125687130 date "2021-04-06" @default.
- W3125687130 modified "2023-09-23" @default.
- W3125687130 title "Optimal Portfolio Diversification via Independent Component Analysis" @default.
- W3125687130 hasPublicationYear "2021" @default.
- W3125687130 type Work @default.
- W3125687130 sameAs 3125687130 @default.
- W3125687130 citedByCount "0" @default.
- W3125687130 crossrefType "journal-article" @default.
- W3125687130 hasAuthorship W3125687130A5020784418 @default.
- W3125687130 hasAuthorship W3125687130A5029462764 @default.
- W3125687130 hasAuthorship W3125687130A5047519193 @default.
- W3125687130 hasConcept C105795698 @default.
- W3125687130 hasConcept C106159729 @default.
- W3125687130 hasConcept C109214941 @default.
- W3125687130 hasConcept C121332964 @default.
- W3125687130 hasConcept C122342681 @default.
- W3125687130 hasConcept C144133560 @default.
- W3125687130 hasConcept C149782125 @default.
- W3125687130 hasConcept C162324750 @default.
- W3125687130 hasConcept C162853370 @default.
- W3125687130 hasConcept C166963901 @default.
- W3125687130 hasConcept C169345407 @default.
- W3125687130 hasConcept C180916674 @default.
- W3125687130 hasConcept C202655437 @default.
- W3125687130 hasConcept C2777151079 @default.
- W3125687130 hasConcept C2780821815 @default.
- W3125687130 hasConcept C33923547 @default.
- W3125687130 hasConcept C41008148 @default.
- W3125687130 hasConceptScore W3125687130C105795698 @default.
- W3125687130 hasConceptScore W3125687130C106159729 @default.
- W3125687130 hasConceptScore W3125687130C109214941 @default.
- W3125687130 hasConceptScore W3125687130C121332964 @default.
- W3125687130 hasConceptScore W3125687130C122342681 @default.
- W3125687130 hasConceptScore W3125687130C144133560 @default.
- W3125687130 hasConceptScore W3125687130C149782125 @default.
- W3125687130 hasConceptScore W3125687130C162324750 @default.
- W3125687130 hasConceptScore W3125687130C162853370 @default.
- W3125687130 hasConceptScore W3125687130C166963901 @default.
- W3125687130 hasConceptScore W3125687130C169345407 @default.
- W3125687130 hasConceptScore W3125687130C180916674 @default.
- W3125687130 hasConceptScore W3125687130C202655437 @default.
- W3125687130 hasConceptScore W3125687130C2777151079 @default.
- W3125687130 hasConceptScore W3125687130C2780821815 @default.
- W3125687130 hasConceptScore W3125687130C33923547 @default.
- W3125687130 hasConceptScore W3125687130C41008148 @default.
- W3125687130 hasLocation W31256871301 @default.
- W3125687130 hasOpenAccess W3125687130 @default.
- W3125687130 hasPrimaryLocation W31256871301 @default.
- W3125687130 hasRelatedWork W1523126549 @default.
- W3125687130 hasRelatedWork W171819288 @default.
- W3125687130 hasRelatedWork W1974103241 @default.
- W3125687130 hasRelatedWork W2076724432 @default.
- W3125687130 hasRelatedWork W2087777149 @default.
- W3125687130 hasRelatedWork W2130350880 @default.
- W3125687130 hasRelatedWork W2133643199 @default.
- W3125687130 hasRelatedWork W2265054722 @default.
- W3125687130 hasRelatedWork W2341161356 @default.
- W3125687130 hasRelatedWork W2910449211 @default.
- W3125687130 hasRelatedWork W2952579478 @default.
- W3125687130 hasRelatedWork W2976349259 @default.
- W3125687130 hasRelatedWork W2996193577 @default.
- W3125687130 hasRelatedWork W3003872208 @default.
- W3125687130 hasRelatedWork W3009284105 @default.
- W3125687130 hasRelatedWork W3047044748 @default.
- W3125687130 hasRelatedWork W3108094750 @default.
- W3125687130 hasRelatedWork W3122662914 @default.
- W3125687130 hasRelatedWork W3125821897 @default.
- W3125687130 hasRelatedWork W3152274412 @default.
- W3125687130 isParatext "false" @default.
- W3125687130 isRetracted "false" @default.
- W3125687130 magId "3125687130" @default.
- W3125687130 workType "article" @default.