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Complex Valued Risk Diversification

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MAZIN, Inc., 1-60-20 Minami-Otsuka, Toshima-ku, Tokyo 170-0005, Japan
2
Nomura Asset Management Co., Ltd. 1-21-1, Nihonbashi, Chuo-ku, Tokyo 103-8260, Japan
*
Author to whom correspondence should be addressed.
Entropy 2019, 21(2), 119; https://doi.org/10.3390/e21020119
Received: 8 December 2018 / Revised: 19 January 2019 / Accepted: 24 January 2019 / Published: 28 January 2019
(This article belongs to the Section Multidisciplinary Applications)
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. View Full-Text
Keywords: portfolio management; risk diversification; Hilbert transform; principal component analysis portfolio management; risk diversification; Hilbert transform; principal component analysis
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Uchiyama, Y.; Kadoya, T.; Nakagawa, K. Complex Valued Risk Diversification. Entropy 2019, 21, 119.

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