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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hüttner, A.; Mai, J-F.; Mineo, S.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
Portfolio selection; correlation matrix; minimum spanning tree; network centrality; Markowitz
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Dependence Modeling
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Volltext / 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
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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