Smart network based portfolios

DOI10.1007/s10479-022-04675-7zbMath1498.91380arXiv1907.01274OpenAlexW2955411801MaRDI QIDQ2675737

Asmerilda Hitaj, Rosanna Grassi, Gian Paolo Clemente

Publication date: 26 September 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.01274

zbMATH Keywords

networksportfolio optimizationmean-variancedependenceinterconnectednesssmart beta strategies

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Portfolio theory (91G10)

Related Items

Portfolio optimization through a network approach: network assortative mixing and portfolio diversification

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