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

DOI10.1016/J.EJOR.2023.07.010MaRDI QIDQ6090171zbMATH OpenFDO

Authors Federica Ricca, Andrea Scozzari

Publication date 14 November 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2023.07.010

zbMATH Keywords

portfolio optimizationmixed integer programmingasset selectionmarket correlation graphnetwork assortative mixing

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• scientific article; zbMATH DE number 3758364 (Why is no real title available?)
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Cited in

(4)

• An uncertainty theory based tri-objective behavioral portfolio selection model with loss aversion and reference level using a modified evolutionary root system growth algorithm
• Integration of support vector machines and mean-variance optimization for capital allocation
• Network-based index tracking using asset dependency structures
• Sparse portfolio selection via topological data analysis based clustering

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