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A Network Approach to Portfolio Selection
16 references·11 citing·33 second hop
A Network Approach to Portfolio Selection (2014)A Network Approach to Portfolio SelectionOn the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…In Search of Distress Risk (2008)In Search of Distress RiskEstimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Noise Dressing of Financial Correlation Matrices (1999)Noise Dressing of Financial C…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Power and Centrality: A Family of Measures (1987)Power and Centrality: A Famil…On estimating the expected return on the market (1980)On estimating the expected re…Factoring and weighting approaches to status scores and clique identification (1972)Factoring and weighting appro…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Enhancing portfolio management using artificial intelligence: literature review (2024)Enhancing portfolio managemen…A survey of the application of graph-based approaches in stock market analysis and prediction (2022)A survey of the application o…A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets (2021)A Review of Two Decades of Co…Network Models to Enhance Automated Cryptocurrency Portfolio Management (2020)Network Models to Enhance Aut…Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method (2019)Time-varying comovement and c…Identifying influential energy stocks based on spillover network (2019)Identifying influential energ…Asset allocation: new evidence through network approaches (2019)Asset allocation: new evidenc…Stock market as temporal network (2018)Stock market as temporal netw…Portfolio optimization based on network topology (2018)Portfolio optimization based …Network-based asset allocation strategies (2018)Network-based asset allocatio…Global stock market investment strategies based on financial network indicators using machine learning techniques (2018)Global stock market investmen…A New Status Index Derived from Sociometric Analysis (1953)Measuring Political Sophistication (1987)A Relational View of Information Seeking and Learning in Social Networks (2003)Social Movements and Networks (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Some effects of certain communication patterns on group performance. (1951)Networks as the Pipes and Prisms of the Market (2001)Structural vs. relational embeddedness: social capital and managerial performance (2005)On Network Theory (2011)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Industry costs of equity (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Conditional value-at-risk for general loss distributions (2002)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1987Power and Centrality: A Family of Measures5,196 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1972Factoring and weighting approaches to status scores and clique identification3,212 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 2008In Search of Distress Risk2,232 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1999Noise Dressing of Financial Correlation Matrices1,244 cited

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Robust performance hypothesis testing with the Sharpe ratio
946 cited

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  • 2021A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets139 cited
  • 2018Stock market as temporal network87 cited
  • 2019Identifying influential energy stocks based on spillover network78 cited
  • 2018Portfolio optimization based on network topology73 cited
  • 2022A survey of the application of graph-based approaches in stock market analysis and prediction62 cited
  • 2018Network-based asset allocation strategies59 cited
  • 2024Enhancing portfolio management using artificial intelligence: literature review54 cited
  • 2019Asset allocation: new evidence through network approaches44 cited
  • 2020Network Models to Enhance Automated Cryptocurrency Portfolio Management37 cited
  • 2019Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method35 cited