An algorithm for the orthogonal decomposition of financial return data

Vic Norton

Papers from arXiv.org

Abstract: We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and "systemic", "productive", and "nonproductive" risk. Generally, when the number of funds does not exceed the number of periods, the expected return of a portfolio is an affine function of its productive risk.

Date: 2012-06, Revised 2014-11
New Economics Papers: this item is included in nep-rmg
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