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Optimal Portfolio for Basic DAGs

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Diego Attilio Mancuso

    (Università Cattolica del Sacro Cuore)

  • Diego Zappa

    (Università Cattolica del Sacro Cuore)

Abstract

Starting from the Markowitz’s formula for a portfolio we compute the solutions for three structures of dependencies and use acyclic directed graphs (DAGs) to represent the structures. Same levels of returns and volatilities are adopted for all assets in order to focus just on the role of correlations. We start with two structures of dependencies among three assets. We then compute the optimal solution for a four assets portfolio whose DAG is the superposition of the previous patterns.

Suggested Citation

  • Diego Attilio Mancuso & Diego Zappa, 2021. "Optimal Portfolio for Basic DAGs," Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 329-335, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-78965-7_48
    DOI: 10.1007/978-3-030-78965-7_48
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