SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Cluster analysis for portfolio optimization · Study

ArticleShelves

ArticleCluster analysis for portfolio optimization

Vincenzo Tola2007

Article2007

Cluster analysis for portfolio optimization

Vincenzo Tola · Fabrizio Lillo · Mauro Gallegati · Rosario N. Mantegna

284 citations·0/0 files stored·Journal of Economic Dynamics and Control

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 284 citations exist upstream.

References

1959Portfolio Selection: Efficient Diversification of Investments 1982Modern Portfolio Theory and Investment Analysis.2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1999Hierarchical structure in financial markets 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 2004Honey, I Shrunk the Sample Covariance Matrix 1999Noise Dressing of Financial Correlation Matrices

Cited by

2010Correlation, hierarchies, and networks in financial markets 2011Correlation of financial markets in times of crisis 2016Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks 2012On the structure and estimation of hierarchical Archimedean copulas 2010Topological properties of stock market networks: The case of Brazil 2021

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Marketarticle · 9 shared references 2011When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimatorsarticle · 9 shared references 2015Community Detection for Correlation Matricesarticle · 8 shared references 2004Networks of equities in financial marketsarticle · 7 shared references 2007SPANNING TREES AND BOOTSTRAP RELIABILITY ESTIMATION IN CORRELATION-BASED NETWORKSarticle · 7 shared references 2018Collective behavior of cryptocurrency price changesarticle · 7 shared references

Details

Year2007

Typearticle

Published2007-04-03

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations284

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.jedc.2007.01.034

openalex_workW2019519002

Links

Imported from OpenAlex (CC0) — nothing here is generated.

A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets

2017The Multiplex Dependency Structure of Financial Markets

2010A blocking and regularization approach to high‐dimensional realized covariance estimation