Efficient cluster-based portfolio optimization

DOI10.1080/03610918.2019.1621341MaRDI QIDQ5082777zbMATH OpenOpenAlexFDO

Authors Najla Bnouachir, A. Mkhadri

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1621341

zbMATH Keywords

clusteringcovariance matrixportfolio theorySharpe ratio

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Cluster analysis for portfolio optimization
• The optimal portfolio with a modified covariance matrix using the clustering method
• Portfolio selection with robust estimation
• Performance of portfolios optimized with estimation error
• Mean-variance portfolio optimization when means and covariances are unknown

Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Cluster-based regularized sliced inverse regression for forecasting macroeconomic variables
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• Feature selection for portfolio optimization
• scientific article; zbMATH DE number 41467 (Why is no real title available?)
• Nonlinear shrinkage estimation of large-dimensional covariance matrices

Cited in

(10)

• A clustering-based portfolio strategy incorporating momentum effect and market trend prediction
• Clustering and portfolio selection problems: a unified framework
• A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
• The optimal portfolio with a modified covariance matrix using the clustering method
• Portfolio optimization using data analysis techniques
• The Confrontation of Two Clustering Methods in Portfolio Management: Ward’s Method Versus DCA Method
• Granularity Adjustment for Efficient Portfolios
• Naive diversification with fewer assets. A risk reduction approach using clustering methods
• A clustering‐based review on project portfolio optimization methods
• Cluster analysis for portfolio optimization

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