Related papers: Dynamic asset trees and portfolio analysis
We study the problem of how well a tree metric is able to preserve the sum of pairwise distances of an arbitrary metric. This problem is closely related to low-stretch metric embeddings and is interesting by its own flavor from the line of…
A tree-packing is a collection of spanning trees of a graph. It has been a useful tool for computing the minimum cut in static, dynamic, and distributed settings. In particular, [Thorup, Comb. 2007] used them to obtain his dynamic min-cut…
Consider~\(n\) nodes~\(\{X_i\}_{1 \leq i \leq n}\) independently distributed in the unit square~\(S,\) each according to a distribution~\(f\) and let~\(K_n\) be the complete graph formed by joining each pair of nodes by a straight line…
We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borrowing constraint. In this paper, to reflect a realistic…
Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the associated minimal spanning tree (MST). The first four moments of…
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high…
A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem,inherently in a finite time horizon.…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
We consider how to optimally allocate investments in a portfolio of competing technologies using the standard mean-variance framework of portfolio theory. We assume that technologies follow the empirically observed relationship known as…
Dynamic trees are mixtures of tree structured belief networks. They solve some of the problems of fixed tree networks at the cost of making exact inference intractable. For this reason approximate methods such as sampling or mean field…
The Markowitz mean-variance portfolio optimization model aims to balance expected return and risk when investing. However, there is a significant limitation when solving large portfolio optimization problems efficiently: the large and dense…
The global structure of the minimal spanning tree (MST) is expected to be universal for a large class of underlying random discrete structures. However, very little is known about the intrinsic geometry of MSTs of most standard models, and…
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning…
Monotone mean-variance (MMV) utility is the minimal modification of the classical Markowitz utility that respects rational ordering of investment opportunities. This paper provides, for the first time, a complete characterization of optimal…
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three…
The conventional wisdom of mean-variance (MV) portfolio theory asserts that the nature of the relationship between risk and diversification is a decreasing asymptotic function, with the asymptote approximating the level of portfolio…
We propose a novel risk matrix to characterize the optimal portfolio choice of an investor with tail concerns. The diagonal of the matrix contains the Value-at-Risk of each asset in the portfolio and the off-diagonal the pairwise…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of linkage dynamics and systemic risk in…
Minimum spanning trees and forests are powerful sparsification techniques that remove cycles from weighted graphs to minimize total edge weight while preserving node connectivity. They have applications in computer science, network science,…