Related papers: Dynamic asset trees and portfolio analysis
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
With the rapid growth of the green bond market amid increasing emphasis on sustainable development, understanding its structural properties and potential systemic risks has become essential. This study applies Minimum Spanning Tree (MST)…
Prediction markets have demonstrated their value for aggregating collective expertise. Combinatorial prediction markets allow forecasts not only on base events, but also on conditional and/or Boolean combinations of events. We describe a…
Tree-based protocols are ubiquitous in distributed systems. They are flexible, they perform generally well, and, in static conditions, their analysis is mostly simple. Under churn, however, node joins and failures can have complex global…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…
The classical Matrix-Tree Theorem allows one to list the spanning trees of a graph by monomials in the expansion of the determinant of a certain matrix. We prove that in the case of three-graphs (that is, hypergraphs whose edges have…
The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a…
We consider an investor, whose portfolio consists of a single risky asset and a risk free asset, who wants to maximize his expected utility of the portfolio subject to the Value at Risk assuming a heavy tail distribution of the stock prices…
Classical mean-variance portfolio theory tells us how to construct a portfolio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an investor to choose the point along this…
Transport networks are crucial to the functioning of natural and technological systems. Nature features transport networks that are adaptive over a vast range of parameters, thus providing an impressive level of robustness in supply.…
Dynamic regression trees are an attractive option for automatic regression and classification with complicated response surfaces in on-line application settings. We create a sequential tree model whose state changes in time with the…
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was considered. The core of the optimization scheme is a fractal walk…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
We consider the problem of uniformly generating a spanning tree, of a connected undirected graph. This process is useful to compute statistics, namely for phylogenetic trees. We describe a Markov chain for producing these trees. For cycle…
A geometric analysis of the time series of returns has been performed in the past and it implied that the most of the systematic information of the market is contained in a space of small dimension. Here we have explored subspaces of this…
Computing a Euclidean minimum spanning tree of a set of points is a seminal problem in computational geometry and geometric graph theory. We combine it with another classical problem in graph drawing, namely computing a monotone geometric…
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Kardaras and Robertson we take as inputs (i) a Markovian…
An optimal binary search tree for an access sequence on elements is a static tree that minimizes the total search cost. Constructing perfectly optimal binary search trees is expensive so the most efficient algorithms construct almost…
We study that over some types of trees with a given number of vertices, which trees minimize or maximize the total number of subtrees. Trees minimizing (resp. maximizing) the total number of subtrees usually maximize (resp. minimize) the…