A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

DOI10.1007/S10287-022-00422-2MaRDI QIDQ2090116zbMATH OpenOpenAlexFDO

Authors Francesca Mariani, Gloria Polinesi, Maria Cristina Recchioni

Publication date 24 October 2022

Published in Computational Management Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10287-022-00422-2

zbMATH Keywords

adaptive clusteringasset allocationfinancial time seriesfintechtail dependence

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cites work

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• Asset Trees and Asset Graphs in Financial Markets
• Cluster analysis for portfolio optimization
• Clustering and portfolio selection problems: a unified framework
• Clustering of financial time series in risky scenarios
• Clustering of time series via non-parametric tail dependence estimation
• Crypto price discovery through correlation networks
• Degree stability of a minimum spanning tree of price return and volatility
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Hypothesis test for normal mixture models: the EM approach
• Introduction to Econophysics
• Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
• On the estimation of the variability in the distribution tail
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Paths and indices of maximal tail dependence
• Portfolio stress testing applied to commodity futures
• Quantile-based optimal portfolio selection
• Sparse precision matrices for minimum variance portfolios
• Testing for univariate Gaussian mixture in practice

Cited in

(3)

• Markowitz revisited: social portfolio engineering
• Utility basis of consumption and investment decisions in a risk environment
• Multi-period power utility optimization under stock return predictability

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