no code implementations • 3 Jun 2019 • Mathias Barkhagen, Brian Fleming, Sergio Garcia Quiles, Jacek Gondzio, Joerg Kalcsics, Jens Kroeske, Sotirios Sabanis, Arne Staal
It is based on a novel concept called portfolio dimensionality that connects diversification to the non-Gaussianity of portfolio returns and can typically be defined in terms of the ratio of risk measures which are homogenous functions of equal degree.