Here we present a novel approach to how the Chief Investment Office (CIO) can select investment strategies to allocate to and to decide the percentage allocation to them. The method that we outline here is a continuation of our previous research on recommender systems science[13]. The aim of...

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...