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Portfolio optimization based on network topology
16 references·0 citing·35 second hop
Portfolio optimization based on network topology (2018)Portfolio optimization based on network t…Interconnectedness and systemic risk of China's financial institutions (2017)Interconnectedness and system…Extreme risk spillover network: application to financial institutions (2017)Extreme risk spillover networ…The price of complexity in financial networks (2016)The price of complexity in fi…Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks (2016)Correlation Structure and Evo…Complexity theory and financial regulation (2016)Complexity theory and financi…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Evolution of worldwide stock markets, correlation structure, and correlation-based graphs (2011)Evolution of worldwide stock …Clustering Indian stock market data for portfolio management (2010)Clustering Indian stock marke…Cluster analysis for portfolio optimization (2007)Cluster analysis for portfoli…Correlation based networks of equity returns sampled at different time horizons (2006)Correlation based networks of…A tool for filtering information in complex systems (2005)A tool for filtering informat…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Dynamics of market correlations: Taxonomy and portfolio analysis (2003)Dynamics of market correlatio…Random matrix approach to cross correlations in financial data (2002)Random matrix approach to cro…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…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)Modern Portfolio Theory and Investment Analysis. (1982)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Correlation, hierarchies, and networks in financial markets (2010)Correlation of financial markets in times of crisis (2011)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Quantifying cross-correlations using local and global detrending approaches (2009)A network perspective of the stock market (2010)Noise Dressing of Financial Correlation Matrices (1999)Networks of equities in financial markets (2004)The Economy as an Evolving Complex System II (2018)Econometric policy evaluation: A critique (1976)DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk (2012)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Network management in the era of ecosystems: Systematic review and management framework (2017)Validation of Agent-Based Models in Economics and Finance (2019)Foundations of complexity economics (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin (2018)Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S. (2020)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)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
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2002Random matrix approach to cross correlations in financial data936 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 2003Dynamics of market correlations: Taxonomy and portfolio analysis767 cited
  • 2016Complexity theory and financial regulation510 cited
  • 2007Cluster analysis for portfolio optimization284 cited
  • 2017Extreme risk spillover network: application to financial institutions264 cited
  • 2011Evolution of worldwide stock markets, correlation structure, and correlation-based graphs242 cited
  • 2006Correlation based networks of equity returns sampled at different time horizons236 cited
  • 2010Clustering Indian stock market data for portfolio management230 cited
  • 2017Interconnectedness and systemic risk of China's financial institutions228 cited
  • 2016The price of complexity in financial networks226 cited

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2016
Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks
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