Portfolio Concentration and the Geometry of Co-Movement

摘要

The author uses the diffusion map method and 3-D gaming technology to visualize correlations of S&P 500 and S&P 100 stocks. The result is a visually compelling and robust way of looking at correlations between stocks and stock sectors. It gives institutional portfolio managers a new and intuitive tool to understand the changing correlations between stocks over time, so they can limit concentration risk.