Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios?

DOI10.1515/demo-2018-0004zbMath1394.91331OpenAlexW2807474555WikidataQ129757522 ScholiaQ129757522MaRDI QIDQ1648681

Stefano Mineo, Jan-Frederik Mai, Amelie Hüttner

Publication date: 27 June 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2018-0004

zbMATH Keywords

minimum spanning treeportfolio selectioncorrelation matrixnetwork centralityMarkowitz

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of graph theory (05C90) Portfolio theory (91G10)

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