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This document presents a novel portfolio allocation method using convex Non-negative Matrix Factorization (NMF) to enhance risk factor budgeting. The proposed method ensures positive factor loadings for interpretable long-only portfolios and demonstrates superior performance in diversification and risk profile compared to traditional methods like hierarchical risk parity. The findings are validated through backtesting on global portfolios of cryptocurrencies and traditional assets, showcasing the method
- Author
- x8795278
- Language
- EN