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Cluster analysis for portfolio optimization

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Cited by:

  1. Thomas Trier Bjerring & Omri Ross & Alex Weissensteiner, 2017. "Feature selection for portfolio optimization," Annals of Operations Research, Springer, vol. 256(1), pages 21-40, September.
  2. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
  3. Almeida, Lucas Milanez de Lima & Balanco, Paulo Antonio de Freitas, 2020. "Application of multivariate analysis as complementary instrument in studies about structural changes: An example of the multipliers in the US economy," Structural Change and Economic Dynamics, Elsevier, vol. 53(C), pages 189-207.
  4. Urbanowicz, Krzysztof & Richmond, Peter & Hołyst, Janusz A., 2007. "Risk evaluation with enhanced covariance matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 468-474.
  5. Alina Lucia Trifan, 2009. "Testing Capital Asset Pricing Model For Romanian Capital Market," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 1-43.
  6. Paolo Giudici & Gloria Polinesi & Alessandro Spelta, 2022. "Network models to improve robot advisory portfolios," Annals of Operations Research, Springer, vol. 313(2), pages 965-989, June.
  7. Gautier Marti & S'ebastien Andler & Frank Nielsen & Philippe Donnat, 2016. "Clustering Financial Time Series: How Long is Enough?," Papers 1603.04017, arXiv.org, revised Apr 2016.
  8. M. Tumminello & T. Di Matteo & T. Aste & R. N. Mantegna, 2007. "Correlation based networks of equity returns sampled at different time horizons," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 209-217, January.
  9. Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
  10. N. C. Suganya & G. A. Vijayalakshmi Pai, 2010. "Pareto‐archived evolutionary wavelet network for financial constrained portfolio optimization," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 17(2), pages 59-90, April.
  11. Zhao, Longfeng & Wang, Gang-Jin & Wang, Mingang & Bao, Weiqi & Li, Wei & Stanley, H. Eugene, 2018. "Stock market as temporal network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1104-1112.
  12. Musmeci, Nicoló & Aste, Tomaso & Di Matteo, T., 2015. "Relation between financial market structure and the real economy: comparison between clustering methods," LSE Research Online Documents on Economics 61644, London School of Economics and Political Science, LSE Library.
  13. La Gubu & Dedi Rosadi & Abdurakhman, 2020. "Robust Mean–Variance Portfolio Selection Using Cluster Analysis: A Comparison between Kamila and Weighted K-Mean Clustering," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(10), pages 1169-1186, October.
  14. Leonidas Sandoval Junior & Italo De Paula Franca, 2011. "Correlation of financial markets in times of crisis," Papers 1102.1339, arXiv.org, revised Mar 2011.
  15. Eom, Cheoljun & Park, Jong Won, 2017. "Effects of common factors on stock correlation networks and portfolio diversification," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 1-11.
  16. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
  17. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
  18. Peter N. Posch & Daniel Ullmann & Dominik Wied, 2019. "Detecting structural changes in large portfolios," Empirical Economics, Springer, vol. 56(4), pages 1341-1357, April.
  19. Gautier Marti & Frank Nielsen & Philippe Donnat & S'ebastien Andler, 2016. "On clustering financial time series: a need for distances between dependent random variables," Papers 1603.07822, arXiv.org.
  20. Tumminello, Michele & Lillo, Fabrizio & Mantegna, Rosario N., 2010. "Correlation, hierarchies, and networks in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 40-58, July.
  21. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2013. "Minimal spanning tree problem in stock networks analysis: An efficient algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2226-2234.
  22. Leonidas Sandoval Junior & Adriana Bruscato & Maria Kelly Venezuela, 2012. "Building portfolios of stocks in the S\~ao Paulo Stock Exchange using Random Matrix Theory," Papers 1201.0625, arXiv.org, revised Mar 2013.
  23. Nicolò Musmeci & Vincenzo Nicosia & Tomaso Aste & Tiziana Di Matteo & Vito Latora, 2017. "The Multiplex Dependency Structure of Financial Markets," Complexity, Hindawi, vol. 2017, pages 1-13, September.
  24. Bhattacharjee, Biplab & Kumar, Rajiv & Senthilkumar, Arunachalam, 2022. "Unidirectional and bidirectional LSTM models for edge weight predictions in dynamic cross-market equity networks," International Review of Financial Analysis, Elsevier, vol. 84(C).
  25. Sebastiano Michele Zema & Giorgio Fagiolo & Tiziano Squartini & Diego Garlaschelli, 2021. "Mesoscopic Structure of the Stock Market and Portfolio Optimization," Papers 2112.06544, arXiv.org.
  26. Nicolo Musmeci & Tomaso Aste & Tiziana Di Matteo, 2014. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," Papers 1406.0496, arXiv.org, revised Jan 2015.
  27. Johann Pfitzinger & Nico Katzke, 2019. "A constrained hierarchical risk parity algorithm with cluster-based capital allocation," Working Papers 14/2019, Stellenbosch University, Department of Economics.
  28. Nikolaus Hautsch & Lada M. Kyj & Roel C. A. Oomen, 2012. "A blocking and regularization approach to high‐dimensional realized covariance estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(4), pages 625-645, June.
  29. Eom, Cheoljun & Park, Jong Won, 2018. "A new method for better portfolio investment: A case of the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 213-231.
  30. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
  31. Sensoy, Ahmet & Tabak, Benjamin M., 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
  32. Francesca Mariani & Gloria Polinesi & Maria Cristina Recchioni, 2022. "A tail-revisited Markowitz mean-variance approach and a portfolio network centrality," Computational Management Science, Springer, vol. 19(3), pages 425-455, July.
  33. Esmalifalak, Hamidreza, 2022. "Euclidean (dis)similarity in financial network analysis," Global Finance Journal, Elsevier, vol. 53(C).
  34. Xing, Xin & Hu, Jinjin & Yang, Yaning, 2014. "Robust minimum variance portfolio with L-infinity constraints," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 107-117.
  35. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
  36. Longfeng Zhao & Chao Wang & Gang-Jin Wang & H. Eugene Stanley & Lin Chen, 2021. "Community detection and portfolio optimization," Papers 2112.13383, arXiv.org.
  37. Sukono & Dedi Rosadi & Di Asih I Maruddani & Riza Andrian Ibrahim & Muhamad Deni Johansyah, 2024. "Mechanisms of Stock Selection and Its Capital Weighing in the Portfolio Design Based on the MACD-K-Means-Mean-VaR Model," Mathematics, MDPI, vol. 12(2), pages 1-22, January.
  38. Cai, Yumei & Cui, Xiaomei & Huang, Qianyun & Sun, Jianqiang, 2017. "Hierarchy, cluster, and time-stable information structure of correlations between international financial markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 562-573.
  39. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  40. Pinar OKAN GOKTEN & Furkan BASER & Soner GOKTEN, 2017. "Using fuzzy c-means clustering algorithm in financial health scoring," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 15(147), pages 385-385.
  41. Justo Puerto & Moises Rodr'iguez-Madrena & Andrea Scozzari, 2019. "Location and portfolio selection problems: A unified framework," Papers 1907.07101, arXiv.org.
  42. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
  43. Haihua Yu & Zhiyi Zhuo & Jing Zhang, 2023. "Research on the Spatial Correlation and Influence Factors of Regional Internet Finance in China," SAGE Open, , vol. 13(3), pages 21582440231, August.
  44. Bilgehan Tekin & Fatih Burak Gümüs, 2017. "The Classification of Stocks with Basic Financial Indicators: An Application of Cluster Analysis on the BIST 100 Index," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(5), pages 104-131, May.
  45. Tabak, Benjamin M. & Serra, Thiago R. & Cajueiro, Daniel O., 2010. "Topological properties of stock market networks: The case of Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3240-3249.
  46. Gautier Marti & Sébastien Andler & Frank Nielsen & Philippe Donnat, 2016. "Clustering Financial Time Series: How Long is Enough?," Post-Print hal-01400395, HAL.
  47. Kapil Panda, 2023. "Analysis of Optimal Portfolio Management Using Hierarchical Clustering," Papers 2308.11202, arXiv.org.
  48. R'emy Chicheportiche, 2013. "Non-linear dependences in finance," Papers 1309.5073, arXiv.org.
  49. Gautier Marti & Philippe Very & Philippe Donnat, 2015. "Toward a generic representation of random variables for machine learning," Working Papers hal-01196883, HAL.
  50. Yuze Li & Shangrong Jiang & Yunjie Wei & Shouyang Wang, 2021. "Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
  51. Nicol'o Musmeci & Tomaso Aste & Tiziana Di Matteo, 2016. "What does past correlation structure tell us about the future? An answer from network filtering," Papers 1605.08908, arXiv.org.
  52. G.A. Vijayalakshmi Pai & Thierry Michel, 2012. "Integrated Metaheuristic Optimization Of 130–30 Investment‐Strategy‐Based Long–Short Portfolios," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 43-74, January.
  53. Millington, Tristan & Niranjan, Mahesan, 2021. "Construction of minimum spanning trees from financial returns using rank correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  54. Nicol'o Musmeci & Tomaso Aste & Tiziana Di Matteo, 2014. "Risk diversification: a study of persistence with a filtered correlation-network approach," Papers 1410.5621, arXiv.org.
  55. Agliardi, Elettra & Alexopoulos, Thomas & Karvelas, Kleanthis, 2023. "The environmental pillar of ESG and financial performance: A portfolio analysis," Energy Economics, Elsevier, vol. 120(C).
  56. Pablo Cristini Guedes & Fernanda Maria Müller & Marcelo Brutti Righi, 2023. "Risk measures-based cluster methods for finance," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-56, March.
  57. Marie Brière & Ariane Szafarz, 2021. "When it rains, it pours: Multifactor asset management in good and bad times," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 641-669, September.
  58. Majapa, Mohamed & Gossel, Sean Joss, 2016. "Topology of the South African stock market network across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 35-47.
  59. Li, Yan & Jiang, Xiong-Fei & Tian, Yue & Li, Sai-Ping & Zheng, Bo, 2019. "Portfolio optimization based on network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 671-681.
  60. Sandoval, Leonidas Junior & Bruscato, Adriana & Venezuela, Maria Kelly, 2012. "Building portfolios of stocks in the São Paulo Stock Exchange using Random Matrix Theory," Insper Working Papers wpe_270, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  61. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios A. & Stanley, H. Eugene, 2022. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," International Review of Financial Analysis, Elsevier, vol. 79(C).
  62. Jang, Wooseok & Lee, Junghoon & Chang, Woojin, 2011. "Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(4), pages 707-718.
  63. Paolo Giudici & Gloria Polinesi, 2021. "Crypto price discovery through correlation networks," Annals of Operations Research, Springer, vol. 299(1), pages 443-457, April.
  64. Guosheng Hu & Yuxin Hu & Kai Yang & Zehao Yu & Flood Sung & Zhihong Zhang & Fei Xie & Jianguo Liu & Neil Robertson & Timothy Hospedales & Qiangwei Miemie, 2017. "Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions," Papers 1709.03803, arXiv.org, revised Feb 2018.
  65. Roy Cerqueti & Catherine Deffains‐Crapsky & Saverio Storani, 2023. "Green finance instruments: Exploring minibonds issuance in Italy," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(4), pages 1965-1986, July.
  66. Justo Puerto & Federica Ricca & Mois'es Rodr'iguez-Madrena & Andrea Scozzari, 2021. "A combinatorial optimization approach to scenario filtering in portfolio selection," Papers 2103.01123, arXiv.org.
  67. Mahdi Massahi & Masoud Mahootchi & Alireza Arshadi Khamseh, 2020. "Development of an efficient cluster-based portfolio optimization model under realistic market conditions," Empirical Economics, Springer, vol. 59(5), pages 2423-2442, November.
  68. Djauhari, Maman Abdurachman & Gan, Siew Lee, 2015. "Optimality problem of network topology in stocks market analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 108-114.
  69. Gautier Marti & Philippe Very & Philippe Donnat & Frank Nielsen, 2015. "A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series," Papers 1509.05475, arXiv.org.
  70. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2014. "Clustering of financial time series in risky scenarios," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(4), pages 359-376, December.
  71. Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2019. "Network-based asset allocation strategies," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 516-536.
  72. Kazemilari, Mansooreh & Mardani, Abbas & Streimikiene, Dalia & Zavadskas, Edmundas Kazimieras, 2017. "An overview of renewable energy companies in stock exchange: Evidence from minimal spanning tree approach," Renewable Energy, Elsevier, vol. 102(PA), pages 107-117.
  73. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
  74. Jun Kang & Hyun Jun Lee & Seung Hwan Jeong & Hee Soo Lee & Kyong Joo Oh, 2020. "Developing a Forecasting Model for Real Estate Auction Prices Using Artificial Intelligence," Sustainability, MDPI, vol. 12(7), pages 1-19, April.
  75. Gang-Jin Wang & Chi Xie & H. Eugene Stanley, 2018. "Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 607-635, March.
  76. Nicoló Musmeci & Tomaso Aste & T Di Matteo, 2015. "Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-24, March.
  77. 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.
  78. Bajeux-Besnainou, Isabelle & Bandara, Wachindra & Bura, Efstathia, 2012. "A Krylov subspace approach to large portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1688-1699.
  79. Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk & Tabak, Benjamin M., 2017. "Not all emerging markets are the same: A classification approach with correlation based networks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 163-186.
  80. Musmeci, Nicoló & Nicosia, Vincenzo & Aste, Tomaso & Di Matteo, Tiziana & Latora, Vito, 2017. "The multiplex dependency structure of financial markets," LSE Research Online Documents on Economics 85337, London School of Economics and Political Science, LSE Library.
  81. David Matesanz Gomez & Benno Torgler & Guillermo J. Ortega, 2013. "Measuring Global Economic Interdependence: A Hierarchical Network Approach," The World Economy, Wiley Blackwell, vol. 36(12), pages 1632-1648, December.
  82. Titi Purwandari & Riaman & Yuyun Hidayat & Sukono & Riza Andrian Ibrahim & Rizki Apriva Hidayana, 2023. "Selecting and Weighting Mechanisms in Stock Portfolio Design Based on Clustering Algorithm and Price Movement Analysis," Mathematics, MDPI, vol. 11(19), pages 1-22, October.
  83. Sensoy, Ahmet & Hacihasanoglu, Erk & Rostom, Ahmed, 2015. "European economic and monetary union sovereign debt markets," Policy Research Working Paper Series 7149, The World Bank.
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