A Comparative Study of Hierarchical Risk Parity Portfolio and Eigen Portfolio on the NIFTY 50 Stocks

被引：0
|
作者：
Sen, Jaydip [1 ]
Dutta, Abhishek [1 ]
机构：
[1] Praxis Business School, Kolkata,700104, India
来源：
Lecture Notes on Data Engineering and Communications Technologies | 2023年 / 142卷
关键词：
Engineering Village;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Backtesting - Eigen portfolio - Hierarchical risk parity algorithm - Minimum variance - Minimum variance portfolio - Portfolio optimization - Prediction accuracy - Principal-component analysis - Return - Sharpe ratios
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页码：443 / 460
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