Asset Allocation under Hierarchical Clustering
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References listed on IDEAS
- Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
- Manfred GILLI & Peter WINKER, "undated".
"A review of heuristic optimization methods in econometrics,"
Swiss Finance Institute Research Paper Series
08-12, Swiss Finance Institute.
- Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
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KeywordsAsset Allocation; Clustering Technique; Sharpe Ratio; Evolutionary Approach; Heuristic Optimization;
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