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Cluster analysis for portfolio optimization
14 references·16 citing·29 second hop
Cluster analysis for portfolio optimization (2007)Cluster analysis for portfolio optimizati…A tool for filtering information in complex systems (2005)A tool for filtering informat…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Topology of correlation-based minimal spanning trees in real and model markets (2003)Topology of correlation-based…Theory of Financial Risk and Derivative Pricing (2003)Theory of Financial Risk and …Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Universal and Nonuniversal Pr…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…International Portfolio Diversification with Estimation Risk (1985)International Portfolio Diver…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)A Review of Two Decades of Co…Crypto price discovery through correlation networks (2019)Crypto price discovery throug…Stock market as temporal network (2018)Stock market as temporal netw…The Multiplex Dependency Structure of Financial Markets (2017)The Multiplex Dependency Stru…Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks (2016)Correlation Structure and Evo…Topology of the South African stock market network across the 2008 financial crisis (2015)Topology of the South African…Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods (2015)Relation between Financial Ma…Financial Risk Measurement for Financial Risk Management (2013)Financial Risk Measurement fo…On the structure and estimation of hierarchical Archimedean copulas (2012)On the structure and estimati…Correlation of financial markets in times of crisis (2011)Correlation of financial mark…Topological properties of stock market networks: The case of Brazil (2010)Topological properties of sto…Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree (2010)Currency crises and the evolu…Correlation, hierarchies, and networks in financial markets (2010)Correlation, hierarchies, and…A blocking and regularization approach to high‐dimensional realized covariance estimation (2010)A blocking and regularization…Evolutionary Optimization of Constrained $k$-Means Clustered Assets for Diversification in Small Portfolios (2009)Evolutionary Optimization of …Correlation study of the Athens Stock Exchange (2007)Correlation study of the Athe…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Statistical tests for power-law cross-correlated processes (2011)Physical approach to complex systems (2012)Multifractal analysis of financial markets: a review (2019)Introduction to Econophysics (1999)Dynamics of market correlations: Taxonomy and portfolio analysis (2003)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Chapter 4 Forecast Combinations (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)The Sharpe Ratio (1994)Betting against beta (2013)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited
  • 1999Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series1,017 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2003Theory of Financial Risk and Derivative Pricing879 cited
  • 1985International Portfolio Diversification with Estimation Risk672 cited
  • 2003Topology of correlation-based minimal spanning trees in real and model markets453 cited

Cited by

  • 2010Correlation, hierarchies, and networks in financial markets

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381 cited
  • 2011Correlation of financial markets in times of crisis285 cited
  • 2016Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks220 cited
  • 2012On the structure and estimation of hierarchical Archimedean copulas166 cited
  • 2010Topological properties of stock market networks: The case of Brazil157 cited
  • 2021A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets139 cited
  • 2017The Multiplex Dependency Structure of Financial Markets120 cited
  • 2010A blocking and regularization approach to high‐dimensional realized covariance estimation119 cited
  • 2007Correlation study of the Athens Stock Exchange108 cited
  • 2013Financial Risk Measurement for Financial Risk Management105 cited
  • 2010Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree102 cited
  • 2019Crypto price discovery through correlation networks95 cited
  • 2018Stock market as temporal network87 cited
  • 2015Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods87 cited
  • 2009Evolutionary Optimization of Constrained $k$-Means Clustered Assets for Diversification in Small Portfolios81 cited
  • 2015Topology of the South African stock market network across the 2008 financial crisis78 cited