Cluster analysis for portfolio optimization
物理与社会
2008-12-02 v1 其他凝聚态物理
统计金融
摘要
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.
引用
@article{arxiv.physics/0507006,
title = {Cluster analysis for portfolio optimization},
author = {Vincenzo Tola and Fabrizio Lillo and Mauro Gallegati and Rosario N. Mantegna},
journal= {arXiv preprint arXiv:physics/0507006},
year = {2008}
}
备注
10 pages, 7 figures