(Re)Defining and Managing Diversification

Attilio Meucci, SYMMYS

Attilio introduces a precise quantitative metric for diversification. The metric is based on the "Effective Number of Bets.” The bets are "Minimum Torsion Bets,” or a set of uncorrelated factors optimized to closely track the factors used to allocate the portfolio.

He discusses the advantage of the Minimum-Torsion Bets over the traditional approach to diversification based on Marginal Contributions to Risk.

対象製品

  • MATLAB
  • Financial Toolbox
  • Financial Instruments Toolbox
  • Statistics and Machine Learning Toolbox

録画: 2014年4月9日