A network-based data mining approach to portfolio selection via weighted clique relaxations

DOI10.1007/S10479-013-1395-3MaRDI QIDQ744697zbMATH OpenOpenAlexFDO

Authors Oleg Shirokikh, Svyatoslav Trukhanov, Jaime Gil Lafuente, Vladimir Boginski, Sergiy Butenko

Publication date 26 September 2014

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

Full work available at URL https://doi.org/10.1007/s10479-013-1395-3

zbMATH Keywords

cliqueclique relaxationscohesive network clustersdiversified portfoliosmarket graphmaximum-weight s-plexnetwork-based data mining

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Combinatorial optimization (90C27) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 2086259 (Why is no real title available?)
• scientific article; zbMATH DE number 6118217 (Why is no real title available?)
• A graph‐theoretic generalization of the clique concept
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• Clique relaxations in social network analysis: the maximum \(k\)-plex problem
• Computational study of the US stock market evolution: a rank correlation-based network model
• Introduction to Econophysics
• Mining market data: a network approach
• On clique relaxation models in network analysis
• Products of trees for investment analysis
• Statistical analysis of financial networks
• The Structure and Function of Complex Networks
• Wavelet-based detection of outliers in financial time series

Cited in

(12)

• A GPU based local search algorithm for the unweighted and weighted maximum \(s\)-plex problems
• On atomic cliques in temporal graphs
• Portfolio optimization through a network approach: network assortative mixing and portfolio diversification
• Clustering and portfolio selection problems: a unified framework
• A clustering-based portfolio strategy incorporating momentum effect and market trend prediction
• Frequency-driven tabu search for the maximum \(s\)-plex problem
• A CPU-GPU local search heuristic for the maximum weight clique problem on massive graphs
• Network models to improve robot advisory portfolios
• Optimal decision for the market graph identification problem in a sign similarity network
• Research on portfolio optimization based on complex network community detection
• Asset allocation: new evidence through network approaches
• Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications

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