Market graph and Markowitz model

DOI10.1007/978-1-4939-0808-0_15MaRDI QIDQ2949920zbMATH OpenOpenAlexFDO

Authors Valery A. Kalyagin, Alexander P. Koldanov, Petr A. Koldanov, Victor Zamaraev

Publication date 5 October 2015

Published in Optimization in Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-0808-0_15

Mathematics Subject Classification ID

Games involving graphs (91A43) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10)

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• Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications
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• Analysis of weakly correlated nodes in market network
• Finding weakly correlated nodes in random variable networks
• A novel global algorithm for optimal portfolio selection with maximum relative marginal risk via SCO method and SOCP relaxation
• Network portfolio optimization with dynamic lower bounds on asset weights
• A network-based data mining approach to portfolio selection via weighted clique relaxations

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