Graph-based dimension reduction heuristics to stock correlation matrices

MaRDI QIDQ5141219zbMATH OpenFDO

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

zbMATH Keywords

portfolio optimizationcorrelation matricesasset graphs

Mathematics Subject Classification ID

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

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