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This chapter explains how to calculate several kinds of measures that allow readers to quantify linear, nonlinear, and tail dependence relationships among assets. These measures are mainly used as inputs of machine learning asset allocation algorithms to create classifications of assets based on agglomerative hierarchical clustering algorithms and to build constraints based on the graphical representation of assets relationships.

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Codependence and Dissimilarity Measures

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  • 发表日期：

    2025年

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  • Dany Cajas

摘要

This chapter explains how to calculate several kinds of measures that allow readers to quantify linear, nonlinear, and tail dependence relationships among assets. These measures are mainly used as inputs of machine learning asset allocation algorithms to create classifications of assets based on agglomerative hierarchical clustering algorithms and to build constraints based on the graphical representation of assets relationships.