Alberto Santangelo

affiliation not provided to SSRN

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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, affiliation not provided to SSRN and Fundvisory
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Abstract:

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