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

Wei Bai, Junting Zhang, Haifei Liu, Kai Liu. How to Construct a Lower Risk FOF Based on Correlation Network? The Method of Principal Component Risk Parity Asset Allocation. J. Systems Science & Complexity, 37(3):1052-1079, June 2024. [doi]

Authors

Wei Bai

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Junting Zhang

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Haifei Liu

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Kai Liu

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