11 citations · 28 across the 6 of their papers we have counts for
Showing q-fin.PMShow all
3 papers · 1 filter
q-fin.PM2022
Schrödinger Risk Diversification Portfolio
Yusuke Uchiyama, Kei Nakagawa
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. Howeve…
q-fin.PM2020★ 9 cited
TPLVM: Portfolio Construction by Student's -process Latent Variable Model
Yusuke Uchiyama, Kei Nakagawa
Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset allocation on investor's risk aversion, various portfolio construction methods have b…
q-fin.PM2018★ 11 cited
Complex Valued Risk Diversification
Yusuke Uchiyama, Takanori Kadoya, Kei Nakagawa
Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some con…