Optimising portfolio diversification and dimensionality

A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is based on a novel concept called portfolio dimensionality that connects diversification to the non-Gaussianity of portfolio...

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Bibliographische Detailangaben

Veröffentlicht in:	arXiv.org 2019-09
Hauptverfasser:	Barkhagen, Mathias, Fleming, Brian, Sergio Garcia Quiles, Gondzio, Jacek, Kalcsics, Joerg, Kroeske, Jens, Sabanis, Sotirios, Staal, Arne
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Covariance Global optimization Portfolio diversification Portfolio management Risk allocation
Online-Zugang:	Volltext
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