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Document type:
Zeitschriftenaufsatz 
Author(s):
Hüttner, A.; Mai, J-F.; Mineo, S. 
Title:
Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios? 
Abstract:
Some empirical studies suggest that the computation of certain graph structures from a (large) historical correlation matrix can be helpful in portfolio selection. In particular, a repeated finding is that information about the portfolio weights in the minimum variance portfolio (MVP) from classical Markowitz theory can be inferred from measurements of centrality in such graph structures. The present article compares the two concepts from a purely algebraic perspective. It is demonstrated that t...    »
 
Keywords:
Portfolio selection; correlation matrix; minimum spanning tree; network centrality; Markowitz 
Journal title:
Dependence Modeling 
Year:
2018 
Fulltext / DOI: