A network approach to risk theory and portfolio selection

DOI10.1007/978-3-319-50234-2_6MaRDI QIDQ4609751zbMATH OpenOpenAlexFDO

Authors Roy Cerqueti, Claudio Lupi

Publication date 26 March 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://openresearch.lsbu.ac.uk/download/32acf07352b10aaedce1a5ea9acf286c3d260cb956ad70c17d57ed930bad2370/142422/CerquetiLupi_Springer_MAF2016%20REVISION.pdf

zbMATH Keywords

portfolio selectionrisk theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• Asset allocation: new evidence through network approaches
• Smart network based portfolios
• scientific article; zbMATH DE number 987488
• A reaxiomatization of portfolio theory
• New aspects of risk aversion some applications in portfolio theory

Cites work

• scientific article; zbMATH DE number 1168330 (Why is no real title available?)
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Extension of dependence properties to semi-copulas and applications to the mean-variance model
• Markowitz's model with Euclidean vector spaces
• Mean-variance approximations to expected utility
• Mean-variance portfolio selection in presence of infrequently traded stocks
• Non-exchangeable copulas and multivariate total positivity
• Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(3)

• A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
• Smart network based portfolios
• Asset allocation: new evidence through network approaches

This page was built for publication: A network approach to risk theory and portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4609751)