Creating portfolio risk and return models [17]

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Bullet points include: Choose an importance criterion, e.g. kurtosis Choose from set of all possible unmixing coefficients the one that provides the deemed input signal (of unit strength) that maximises the importance criterion Deem this to be an actual input signal, moreover the most important one Take away any contribution from this signal to the output results Repeat, until no further signals extracted by the algorithm appear significant / meaningful

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