Related papers: Dynamic asset trees and portfolio analysis
Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This method uses multivariate extreme value theory to minimize the…
Designing an optimum portfolio that allocates weights to its constituent stocks in a way that achieves the best trade-off between the return and the risk is a challenging research problem. The classical mean-variance theory of portfolio…
This work aims to deal with the optimal allocation instability problem of Markowitz's modern portfolio theory in high dimensionality. We propose a combined strategy that considers covariance matrix estimators from Random Matrix Theory~(RMT)…
As the cornerstone of modern portfolio theory, Markowitz's mean-variance optimization is considered a major model adopted in portfolio management. However, due to the difficulty of estimating its parameters, it cannot be applied to all…
In many insurance contexts, dependence between risks of a portfolio may arise from their frequencies. We investigate a dependent risk model in which we assume the vector of count variables to be a tree-structured Markov random field with…
Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk,…
Finding an optimal balance between risk and returns in investment portfolios is a central challenge in quantitative finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out…
Inspired by studies on the airports' network and the physical Internet, we propose a general model of weighted networks via an optimization principle. The topology of the optimal network turns out to be a spanning tree that minimizes a…
Finding a minimum spanning tree (MST) for $n$ points in an arbitrary metric space is a fundamental primitive for hierarchical clustering and many other ML tasks, but this takes $\Omega(n^2)$ time to even approximate. We introduce a…
More than seventy years ago Harry Markowitz formulated portfolio construction as an optimization problem that trades off expected return and risk, defined as the standard deviation of the portfolio returns. Since then the method has been…
Traditional Markowitz portfolio optimization constrains daily portfolio variance to a target value, optimising returns, Sharpe or variance within this constraint. However, this approach overlooks the relationship between variance at…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique…
We identify temporal investor networks for Nokia stock by constructing networks from correlations between investor-specific net-volumes and analyze changes in the networks around dot-com bubble. We conduct the analysis separately for…
The minimum spanning tree (MST) construction is a classical problem in Distributed Computing for creating a globally minimized structure distributedly. Self-stabilization is versatile technique for forward recovery that permits to handle…
In this paper, we study weakly dynamic undirected graphs, that can be used to represent some logistic networks. The goal is to deliver all the delivery points in the network. The network exists in a mostly stable environment, except for a…
In the complete graph on n vertices, when each edge has a weight which is an exponential random variable, Frieze proved that the minimum spanning tree has weight tending to zeta(3)=1/1^3+1/2^3+1/3^3+... as n goes to infinity. We consider…
We study the minimal spanning arborescence which is the directed analogue of the minimal spanning tree, with a particular focus on its infinite volume limit and its geometric properties. We prove that in a certain large class of transient…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more…