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How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation.
Wei Bai
Junting Zhang
Haifei Liu
Kai Liu
Published in:
J. Syst. Sci. Complex. (2024)
Keyphrases
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principal components
correlation coefficient
objective function
classification accuracy
optimization method
portfolio management
feature extraction
long term
risk management
decision making
covariance matrix
sensitivity analysis
asset allocation