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Risk Budget Portfolios With Convex Non-negative Matrix Factorization

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Nonnegative Matrix and Tensor Factorizations: Applications to Exploratory Multi-way Data Analysis and Blind Source Separation

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Applied Multivariate Statistical Analysis

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Nonparametric Density Estimation

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Statistical predictor identification

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Common risk factors in the returns on stocks and bonds

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Silhouettes: A graphical aid to the interpretation and validation of cluster analysis

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60 Years of portfolio optimization: Practical challenges and current trends

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Robustifying Markowitz

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CRIX an Index for cryptocurrencies

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Characteristics are covariances: A unified model of risk and return

inferredcites →https://doi.org/10.1038/44565openalex-extracted

Learning the parts of objects by non-negative matrix factorization

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Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies

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Efficient Asset Management

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Empirical Asset Pricing via Machine Learning

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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?

inferredcites →https://doi.org/10.1093/rof/rfn005openalex-extracted

Equity Portfolio Diversification

inferredcites →https://doi.org/10.1109/ciss.2008.4558678openalex-extracted

Portfolio diversification using subspace factorizations

inferredcites →https://doi.org/10.1109/cvpr.2001.990477openalex-extracted

Learning spatially localized, parts-based representation

inferredcites →https://doi.org/10.1109/lsp.2018.2789405openalex-extracted

On Identifiability of Nonnegative Matrix Factorization

inferredcites →https://doi.org/10.1109/tpami.2008.277openalex-extracted

Convex and Semi-Nonnegative Matrix Factorizations

inferredcites →https://doi.org/10.1109/tpami.2016.2557797openalex-extracted

On the Link Between L1-PCA and ICA

inferredcites →https://doi.org/10.1109/tsp.2013.2285514openalex-extracted

Non-Negative Matrix Factorization Revisited: Uniqueness and Algorithm for Symmetric Decomposition

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Portfolio Selection and Asset Pricing Models

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The Economic Value of Volatility Timing

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Estimating the Number of Clusters in a Data Set Via the Gap Statistic

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A Reality Check for Data Snooping

inferredcites →https://doi.org/10.1137/1.9781611972740.45openalex-extracted

Text Mining using Non-Negative Matrix Factorizations

inferredcites →https://doi.org/10.1137/1.9781611972757.70openalex-extracted

On the Equivalence of Nonnegative Matrix Factorization and Spectral Clustering

inferredcites →https://doi.org/10.1155/2008/764206openalex-extracted

Theorems on Positive Data: On the Uniqueness of NMF

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A Test for Superior Predictive Ability

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The Sharpe ratio efficient frontier

inferredcites →https://doi.org/10.21314/jor.2014.284openalex-extracted

Diversifying risk parity

inferredcites →https://doi.org/10.2139/ssrn.2009778openalex-extracted

Managing Risk Exposures Using the Risk Budgeting Approach

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Risk Parity and Beyond - From Asset Allocation to Risk Allocation Decisions

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Hierarchical Clustering Based Asset Allocation

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Optimal Portfolio Diversification via Independent Component Analysis

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Interpretable Machine Learning for Diversified Portfolio Construction

inferredcites →https://doi.org/10.2469/faj.v48.n5.28openalex-extracted

Global Portfolio Optimization

inferredcites →https://doi.org/10.3386/w24540openalex-extracted

Characteristics Are Covariances: A Unified Model of Risk and Return

inferredcites →https://doi.org/10.3905/jfds.2021.1.066openalex-extracted

Interpretable Machine Learning for Diversified Portfolio Construction

inferredcites →https://doi.org/10.3905/jpm.2010.36.4.060openalex-extracted

The Properties of Equally Weighted Risk Contribution Portfolios

inferredcites →https://doi.org/10.3905/jpm.2013.39.2.028openalex-extracted

A Constant-Volatility Framework for Managing Tail Risk

inferredcites →https://doi.org/10.3905/jpm.2016.42.4.059openalex-extracted

Building Diversified Portfolios that Outperform Out of Sample

inferredcites →https://doi.org/10.3905/jpm.2018.44.2.089openalex-extracted

Hierarchical Clustering Based Asset Allocation

inferredcites →https://doi.org/10.3905/jpm.2018.45.1.014openalex-extracted

The Impact of Volatility Targeting

inferredcites →https://doi.org/10.7916/d88d05n7openalex-extracted

When Does Non-Negative Matrix Factorization Give a Correct Decomposition into Parts?

inferredcites →https://doi.org/10.1080/14697688.2015.1046907openalex-snapshot

Risk parity portfolios with risk factors

inferredcites →https://doi.org/10.1287/opre.2021.2140openalex-snapshot

Optimal Portfolio Diversification via Independent Component Analysis

inferredcites →https://doi.org/10.21314/jcf.2016.322openalex-snapshot

The probability of backtest overfitting

inferredcites →https://doi.org/10.2139/ssrn.2272973openalex-snapshot

Introduction to Risk Parity and Budgeting

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.is.2024.102379openalex-snapshot

The rise of nonnegative matrix factorization: Algorithms and applications

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