A network-based data mining approach to portfolio selection via weighted clique relaxations

DOI10.1007/s10479-013-1395-3zbMath1296.90015OpenAlexW2033244732MaRDI QIDQ744697

Oleg Shirokikh, Svyatoslav Trukhanov, Jaime Gil Lafuente, Vladimir L. Boginski, Sergiy I. Butenko

Publication date: 26 September 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1395-3

zbMATH Keywords

cliqueclique relaxationscohesive network clustersdiversified portfoliosmarket graphmaximum-weight s-plexnetwork-based data mining

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Combinatorial optimization (90C27) Portfolio theory (91G10)

Related Items (11)

Optimal decision for the market graph identification problem in a sign similarity network ⋮ Network models to improve robot advisory portfolios ⋮ Frequency-driven tabu search for the maximum \(s\)-plex problem ⋮ A CPU-GPU local search heuristic for the maximum weight clique problem on massive graphs ⋮ Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications ⋮ On atomic cliques in temporal graphs ⋮ Portfolio optimization through a network approach: network assortative mixing and portfolio diversification ⋮ A clustering-based portfolio strategy incorporating momentum effect and market trend prediction ⋮ Asset allocation: new evidence through network approaches ⋮ A GPU based local search algorithm for the unweighted and weighted maximum \(s\)-plex problems ⋮ Clustering and portfolio selection problems: a unified framework

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