An algorithm for the orthogonal decomposition of financial return data
Portfolio Management
2014-11-19 v3 Computational Finance
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.
Keywords
Cite
@article{arxiv.1206.2333,
title = {An algorithm for the orthogonal decomposition of financial return data},
author = {Vic Norton},
journal= {arXiv preprint arXiv:1206.2333},
year = {2014}
}
Comments
arXiv.org references added to rtndecomp.m script