Alberto Santangelo

FinScience

Milan

Italy

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 7,420

SSRN RANKINGS

Top 7,420

in Total Papers Downloads

5,904

1

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (1)

1.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Attilio Meucci, Alberto Santangelo and Romain Deguest
ARPM - Advanced Risk and Portfolio Management, FinScience and Fundvisory
Downloads 5,904 (1,090)

Abstract:

Loading...

Effective Number of Bets, PCA, Diversification Distribution, Marginal Risk Contributions, Procrustes Problem