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

Journal of Systems Science & Complexity ›› 2024, Vol. 37 ›› Issue (3) : 1052-1079.

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Journal of Systems Science & Complexity ›› 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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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science & Complexity, 2024, 37(3): 1052-1079 https://doi.org/10.1007/s11424-023-2296-4

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