Asset allocation: new evidence through network approaches

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

zbMATH Keywords

networksportfolio selectiondependence structureglobal minimum variance

Mathematics Subject Classification ID

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

• R
• qgraph

Cites Work

• A network-based data mining approach to portfolio selection via weighted clique relaxations
• Advances in prospect theory: cumulative representation of uncertainty
• A new method for mean-variance portfolio optimization with cardinality constraints
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Non-parametric Estimation of Tail Dependence
• SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
• 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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