Portfolio diversification using shape-based clustering

• Main Authors: LIM, Tristan, ONG, Chin Sin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Security analysis and valuation; portfolio construction; statistical methods; Numerical Analysis and Scientific Computing; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/sis_research/7238; https://ink.library.smu.edu.sg/context/sis_research/article/8241/viewcontent/PortfolioDiversificationusingShape_basedClusteringJFDS_sv.pdf
• Institution: Singapore Management University

Portfolio diversification involves lowering the correlation between portfolio assets to achieve improved risk–return exposure. It is reasonable to infer from the classic Anscombe quartet that relying on descriptive statistics, and specifically, correlation, to achieve portfolio diversification may n...