论文标题
Schrödinger风险多样化投资组合
Schrödinger Risk Diversification Portfolio
论文作者
论文摘要
考虑到预期收益和风险之间权衡取舍的平均变异投资组合已被广泛用于多资产投资组合资产分配问题。但是，由于很难估算预期的回报，并且均值变化投资组合的样本外部表现很差，基于风险的投资组合构建方法仅提出了风险的重点，并且主要在实践中引起人们的注意。在风险方面，构成投资组合的资产波动被认为具有共同的因素，而主成分分析（这是减少维度方法）被应用于提取因素。在这项研究中，我们建议使用Schrödinger主体组件分析分析Schrödinger风险多样化投资组合作为一个因素风险多样化的投资组合，该组件分析将Schrödinger方程应用于量子力学。 Schrödinger主成分分析也可以准确地估计这些因素，即使样品点不等，或者少数数量不等，因此我们可以进行有效的风险多样化。验证了所提出的方法，以优于常规风险平价和其他风险多样化投资组合结构。
The mean-variance portfolio that considers the trade-off between expected return and risk has been widely used in the problem of asset allocation for multi-asset portfolios. However, since it is difficult to estimate the expected return and the out-of-sample performance of the mean-variance portfolio is poor, risk-based portfolio construction methods focusing only on risk have been proposed, and are attracting attention mainly in practice. In terms of risk, asset fluctuations that make up the portfolio are thought to have common factors behind them, and principal component analysis, which is a dimension reduction method, is applied to extract the factors. In this study, we propose the Schrödinger risk diversification portfolio as a factor risk diversifying portfolio using Schrödinger principal component analysis that applies the Schrödinger equation in quantum mechanics. The Schrödinger principal component analysis can accurately estimate the factors even if the sample points are unequally spaced or in a small number, thus we can make efficient risk diversification. The proposed method was verified to outperform the conventional risk parity and other risk diversification portfolio constructions.
