How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation

BAI Wei, ZHANG Junting, LIU Haifei, LIU Kai

系统科学与复杂性(英文) ›› 2024, Vol. 37 ›› Issue (3) : 1052-1079.

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系统科学与复杂性(英文) ›› 2024, Vol. 37 ›› Issue (3) : 1052-1079. DOI: 10.1007/s11424-023-2296-4

How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation

    BAI Wei1,2,3, ZHANG Junting1, LIU Haifei1, LIU Kai4
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How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation

    BAI Wei1,2,3, ZHANG Junting1, LIU Haifei1, LIU Kai4
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{{article.zuoZheCn_L}}. {{article.title_cn}}. {{journal.qiKanMingCheng_CN}}, 2024, 37(3): 1052-1079 https://doi.org/10.1007/s11424-023-2296-4
{{article.zuoZheEn_L}}. {{article.title_en}}. {{journal.qiKanMingCheng_EN}}, 2024, 37(3): 1052-1079 https://doi.org/10.1007/s11424-023-2296-4
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