Next Article in Journal
CDE++: Learning Categorical Data Embedding by Enhancing Heterogeneous Feature Value Coupling Relationships
Previous Article in Journal
Information Bottleneck for Estimating Treatment Effects with Systematically Missing Covariates
Open AccessArticle

Quaternion Valued Risk Diversification

1
Fund Manager at Epic Partners Investment Co., Ltd., Tokyo 100-0013, Japan
2
Graduate School of Mathematical Sciences, University of Tokyo, Tokyo 113-8654, Japan
*
Authors to whom correspondence should be addressed.
Entropy 2020, 22(4), 390; https://doi.org/10.3390/e22040390
Received: 26 February 2020 / Revised: 22 March 2020 / Accepted: 27 March 2020 / Published: 29 March 2020
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. Entropy. 2019, 21, 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. View Full-Text
Keywords: portfolio management; risk diversification; Hilbert transform; principal component analysis; quaternion portfolio management; risk diversification; Hilbert transform; principal component analysis; quaternion
Show Figures

Figure 1

MDPI and ACS Style

Sugitomo, S.; Maeta, K. Quaternion Valued Risk Diversification. Entropy 2020, 22, 390.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop