IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-88-470-0704-8_20.html
   My bibliography  Save this book chapter

Clustering Financial Data for Mutual Fund Management

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Francesco Lisi

    (University of Padova)

  • Marco Corazza

    (University of Venice)

Abstract

In this paper, an analysis of the performances of an active and quantitative fund management strategy is presented. The strategy consists of working with a portfolio constituted by 30 equally-weighted stock assets selected from a basket of 397 stock assets belonging to the Euro area. The asset allocation is performed in two phases: in the first phase, the 397 stock assets are split into 5 groups; in the second, 6 stock assets are selected from each of the group. The analysis focuses: i) on the specification of quantitative approaches able to effect the group formation; ii) on the definition of a profitable active and quantitative fund management strategy; iii) on the quantitative investigation of the contribution individually provided by each of the two phases to the total profitability of the fund management strategy.

Suggested Citation

  • Francesco Lisi & Marco Corazza, 2008. "Clustering Financial Data for Mutual Fund Management," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 157-164, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_20
    DOI: 10.1007/978-88-470-0704-8_20
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jochen Papenbrock & Peter Schwendner, 2015. "Handling risk-on/risk-off dynamics with correlation regimes and correlation networks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 125-147, May.
    2. Jin Zhang & Dietmar Maringer, 2010. "Asset Allocation under Hierarchical Clustering," Working Papers 036, COMISEF.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-88-470-0704-8_20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.