Cluster analysis for portfolio optimization
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Publication:844576
DOI10.1016/j.jedc.2007.01.034zbMath1181.91303arXivphysics/0507006OpenAlexW2019519002MaRDI QIDQ844576
Fabrizio Lillo, Mauro Gallegati, Vincenzo Tola, Rosario Nunzio Mantegna
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0507006
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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Uses Software
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