Optimal decision for the market graph identification problem in a sign similarity network

DOI10.1007/S10479-017-2491-6zbMath1404.62141arXiv1512.06449OpenAlexW2238994812MaRDI QIDQ1621915

Alexander P. Koldanov, Valeriy A. Kalyagin, Petr A. Koldanov, Panos M. Pardalos

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.06449

zbMATH Keywords

loss functionmultiple decision statistical proceduresrisk functionmarket graphGaussian multivariate distributionsoptimal multiple decision proceduresPearson correlation networksign similarity network

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of graph theory (05C90) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Unnamed Item
• Unnamed Item
• Robust identification in random variable networks
• A network-based data mining approach to portfolio selection via weighted clique relaxations
• Statistical analysis of financial networks
• Statistical procedures for the market graph construction
• Likelihood robust optimization for data-driven problems
• A new method for mean-variance portfolio optimization with cardinality constraints
• Computational study of the US stock market evolution: a rank correlation-based network model
• Simple measure of similarity for the market graph construction
• Mining market data: a network approach
• Comparative Analysis of Two Similarity Measures for the Market Graph Construction
• Elliptically Contoured Models in Statistics and Portfolio Theory
• Hub Discovery in Partial Correlation Graphs
• A Theory of some Multiple Decision Problems, I
• SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKS
• Testing Statistical Hypotheses
• Enumerating Isolated Cliques in Synthetic and Financial Networks

This page was built for publication: Optimal decision for the market graph identification problem in a sign similarity network