Asset allocation: new evidence through network approaches
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Publication:2241054
DOI10.1007/s10479-019-03136-yzbMath1482.91193arXiv1810.09825OpenAlexW2896442689MaRDI QIDQ2241054
Asmerilda Hitaj, Gian Paolo Clemente, Rosanna Grassi
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.09825
Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (3)
Smart network based portfolios ⋮ Portfolio optimization through a network approach: network assortative mixing and portfolio diversification ⋮ Dynamic large financial networks \textit{via} conditional expected shortfalls
Uses Software
Cites Work
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- Estimation for Markowitz Efficient Portfolios
- Asset Trees and Asset Graphs in Financial Markets
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Collective dynamics of ‘small-world’ networks
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