Alberto Santangelo

FinScience

Milan

Italy

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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, FinScience and Fundvisory
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Citation 22

Abstract:

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