Title: Complex Valued Risk Diversification,
Abstract: 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 constrains including expected returns. We propose a
portfolio construction method that incorporates the complex valued principal
component analysis into the risk diversification portfolio construction. The
proposed method is verified to outperform the conventional risk parity and risk
diversification portfolio constructions.