Asset allocation: new evidence through network approaches

The main contribution of the paper is to unveil the role of the network structure in the financial markets to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three different methods are proposed in order to extract th...

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Vydané v:	Annals of operations research Ročník 299; číslo 1-2; s. 61 - 80
Hlavní autori:	Clemente, Gian Paolo, Grassi, Rosanna, Hitaj, Asmerilda
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Predmet:	Allocation (Accounting) Asset allocation Assets (Accounting) Business and Management Combinatorics Dependence Financial markets Management Methods Operations research Operations Research/Decision Theory Optimization Portfolio management S.I.: Recent Developments in Financial Modeling and Risk Management Securities markets Structure Theory of Computation Italy Networks Portfolio selection C6 G11 Global minimum variance Dependence structure
ISSN:	0254-5330, 1572-9338
On-line prístup:	Získať plný text
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