Graph-based dimension reduction heuristics to stock correlation matrices

zbMATH Open1474.91176MaRDI QIDQ5141219FDOQ5141219

Authors: Imre Gera, András London 

Publication date: 18 December 2020

Full work available at URL: http://aml.math.bme.hu/wp-content/uploads/2020/07/37-2-GeraLondon.pdf

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zbMATH Keywords

portfolio optimizationcorrelation matricesasset graphs

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Portfolio theory (91G10)

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