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Title:

Portfolio selection based on graphs: Does it align with Markowitz-optimal portfolios?

Document type:
Zeitschriftenaufsatz
Author(s):
Hüttner, A.; Mai, J-F.; Mineo, S.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Intellectual Contribution:
Discipline-based Research
Journal title:
Dependence Modeling
Journal listet in FT50 ranking:
nein
Year:
2018
Fulltext / DOI:
doi:10.1515/demo-2018-0004.
WWW:
https://www.degruyter.com/view/j/demo.2018.6.issue-1/demo-2018-0004/demo-2018-0004.xml
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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