A network-based data mining approach to portfolio selection via weighted clique relaxations

DOI10.1007/s10479-013-1395-3zbMath1296.90015OpenAlexW2033244732MaRDI QIDQ744697

Oleg Shirokikh, Svyatoslav Trukhanov, Jaime Gil Lafuente, Vladimir L. Boginski, Sergiy I. Butenko

Publication date: 26 September 2014

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

Full work available at URL: https://doi.org/10.1007/s10479-013-1395-3

zbMATH Keywords

cliqueclique relaxationscohesive network clustersdiversified portfoliosmarket graphmaximum-weight s-plexnetwork-based data mining

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Combinatorial optimization (90C27) Portfolio theory (91G10)

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