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[Feature Request] Optimal Portfolio Allocation via Independent Component Analysis #119
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Hey there! I will try to read the paper when I have some spare time! Looks interesting. Thank you for the suggestion! |
I've written a loss function here for maximizing the eigenvalue entropy or gini-index of a portfolio.
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IC-variance-parity portfolio: Factor-Risk-Parity Portfolio based on Maximally Independent Factors (via ICA)
Optimal_Portfolio_ICA.pdf
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