Chenfei Ma

Schroders Investment Management

31 Gresham Street

London, EC2V 7QA

United Kingdom

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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