A network-based data mining approach to portfolio selection via weighted clique relaxations
DOI10.1007/S10479-013-1395-3zbMATH Open1296.90015OpenAlexW2033244732MaRDI QIDQ744697FDOQ744697
Oleg Shirokikh, Svyatoslav Trukhanov, Vladimir Boginski, Jaime Gil Lafuente, 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
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cliqueclique relaxationscohesive network clustersdiversified portfoliosmarket graphmaximum-weight s-plexnetwork-based data mining
Deterministic network models in operations research (90B10) Combinatorial optimization (90C27) Portfolio theory (91G10)
Cites Work
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- Mining market data: a network approach
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- Computational study of the US stock market evolution: a rank correlation-based network model
- Clique Relaxations in Social Network Analysis: The Maximum k-Plex Problem
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- Algorithms for detecting optimal hereditary structures in graphs, with application to clique relaxations
- Statistical analysis of financial networks
- A graph‐theoretic generalization of the clique concept
- Products of trees for investment analysis
- Wavelet-based detection of outliers in financial time series
Cited In (11)
- Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications
- Optimal decision for the market graph identification problem in a sign similarity network
- On atomic cliques in temporal graphs
- 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
- A GPU based local search algorithm for the unweighted and weighted maximum \(s\)-plex problems
- Portfolio optimization through a network approach: network assortative mixing and portfolio diversification
- Clustering and portfolio selection problems: a unified framework
- Asset allocation: new evidence through network approaches
- A clustering-based portfolio strategy incorporating momentum effect and market trend prediction
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