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Hierarchical Clustering Based Asset Allocation
15 references·10 citing·39 second hop
Hierarchical Clustering Based Asset Allocation (2016)Hierarchical Clustering Based Asset Alloc…Building Diversified Portfolios that Outperform Out of Sample (2016)Building Diversified Portfoli…The Markowitz Optimization Enigma: Is 'Optimized' Optimal? (2014)The Markowitz Optimization En…Properties of the most diversified portfolio (2013)Properties of the most divers…The Properties of Equally Weighted Risk Contribution Portfolios (2010)The Properties of Equally Wei…Correlation, hierarchies, and networks in financial markets (2010)Correlation, hierarchies, and…Equity Portfolio Diversification (2008)Equity Portfolio Diversificat…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…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…Hierarchical structure in financial markets (1999)Hierarchical structure in fin…Do Old Fallacies Ever Die (1992)Do Old Fallacies Ever DieThe Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? (1989)The Markowitz Optimization En…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…More Is Different: Broken symmetry and the nature of the hierarchical structure of science. (1972)More Is Different: Broken sym…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Enhancing portfolio management using artificial intelligence: literature review (2024)Enhancing portfolio managemen…Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm (2023)Online risk-based portfolio a…A survey of the application of graph-based approaches in stock market analysis and prediction (2022)A survey of the application o…Financial Risk Meter for emerging markets (2021)Financial Risk Meter for emer…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…Know Your Clients' Behaviours: A Cluster Analysis of Financial Transactions (2020)Know Your Clients' Behaviours…Beyond Risk Parity - A Machine Learning-based Hierarchical Risk Parity Approach on Cryptocurrencies (2020)Beyond Risk Parity - A Machin…Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification (2019)Can Machine Learning-Based Po…The Hierarchical Equal Risk Contribution Portfolio (2018)The Hierarchical Equal Risk C…A Theory of the Consumption Function (1960)Galton's Fallacy and Tests of the Convergence Hypothesis (1993)Empirics for economic growth and convergence (1996)Who Creates Jobs? 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(1962)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)60 Years of portfolio optimization: Practical challenges and current trends (2013)Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity (2022)Random matrix approach to cross correlations in financial data (2002)Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)The re‐emergence of “emergence”: A venerable concept in search of a theory (2002)A meta‐analytic investigation of the relationship between HRM bundles and firm performance (2009)Critical Truths About Power Laws (2012)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)An Engine, Not a Camera (2006)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

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1999Hierarchical structure in financial markets2,073 cited
  • 1972More Is Different: Broken symmetry and the nature of the hierarchical structure of science.1,645 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2008Equity Portfolio Diversification1,221 cited
  • 2005A tool for filtering information in complex systems902 cited
  • 1992Do Old Fallacies Ever Die813 cited
  • 2010The Properties of Equally Weighted Risk Contribution Portfolios728 cited
  • 1980Estimation for Markowitz Efficient Portfolios554 cited
  • 2010Correlation, hierarchies, and networks in financial markets381 cited
  • 2016Building Diversified Portfolios that Outperform Out of Sample301 cited
  • 2014The Markowitz Optimization Enigma: Is 'Optimized' Optimal?248 cited
  • 2013Properties of the most diversified portfolio167 cited

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2021
A Review of Two Decades of Correlations, Hierarchies, Networks and Clustering in Financial Markets
139 cited
  • 2022A survey of the application of graph-based approaches in stock market analysis and prediction62 cited
  • 2024Enhancing portfolio management using artificial intelligence: literature review54 cited
  • 2020Beyond Risk Parity - A Machine Learning-based Hierarchical Risk Parity Approach on Cryptocurrencies48 cited
  • 2018The Hierarchical Equal Risk Contribution Portfolio41 cited
  • 2020Network Models to Enhance Automated Cryptocurrency Portfolio Management37 cited
  • 2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification36 cited
  • 2023Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm31 cited
  • 2020Know Your Clients' Behaviours: A Cluster Analysis of Financial Transactions23 cited
  • 2021Financial Risk Meter for emerging markets21 cited