Arta Babaee

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

  • Imperial College London

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MAFI: A Multi-Asset Fragility Indicator Using Principal Component Analysis

Number of pages: 21 Posted: 14 Mar 2015 Last Revised: 17 Mar 2015
Arta Babaee, Eddie Cheng, Anthony Constantinides, David King, Chenfei Ma, Pedro Rodrigues and Matthias Scheiber
Imperial College London, Schroders Investment Management, Imperial College London, Schroders Investment Management, Schroders Investment Management, Imperial College London and Schroders Investment Management
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Abstract:

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Market Co-Movement, PCA, Multi-Asset Investment, Market Fragility, Hedging