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Portfolio optimization based on network topology

Citations

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Cited by:

  1. Christophe Chorro & Emmanuelle Jay & Philippe de Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Post-Print halshs-03216938, HAL.
  2. Pang, Raymond Ka-Kay & Granados, Oscar M. & Chhajer, Harsh & Legara, Erika Fille T., 2021. "An analysis of network filtering methods to sovereign bond yields during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  3. Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
  4. Christophe Chorro & Emmanuelle Jay & Philippe De Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Documents de travail du Centre d'Economie de la Sorbonne 21013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  5. El Rhiouane, Afaf & Oukhouya, Hassan & Guerbaz, Raby & Belkhoutout, Khalid & Lmakri, Aziz & Fihri, Mohamed & El Afia, Abdellatif, 2025. "Integrating ESG criteria in portfolio optimization: A Moroccan case study using Markowitz’s theory and correlation network analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 667(C).
  6. Herteliu, Claudiu & Levantesi, Susanna & Rotundo, Giulia, 2021. "Network analysis of pension funds investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 579(C).
  7. Al Janabi, Mazin A.M. & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2019. "Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  8. Bian, Junhao & Huang, Tao & Zhang, Xu & Wang, Chunping & Zhang, Yongwen & Zeng, Chunhua, 2025. "Fluctuation-variable correlation as early warning signals of non-equilibrium critical transitions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 661(C).
  9. Jiang, Xiongfei & Xiong, Long & Bai, Ling & Zhao, Na & Zhang, Jiu & Xia, Ke & Deng, Kai & Zheng, Bo, 2021. "Quantifying the social structure of elites in ancient China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
  10. Lan, Qiujun & Li, Haojie & Mi, Xianhua & Zhang, Chunyu, 2025. "Optimizing investment strategies: Harnessing the power of K-line complex networks," International Review of Economics & Finance, Elsevier, vol. 99(C).
  11. Xu, Qifa & Li, Mengting & Jiang, Cuixia, 2021. "Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  12. Si, Jingjian & Zhou, Jinsheng & Gao, Xiangyun & Ze, Wang & Tao, Wu & Zhao, Yiran, 2022. "Reconstructing a complex financial network using compressed sensing based on low-frequency time series data," Finance Research Letters, Elsevier, vol. 49(C).
  13. Xu, Yuhong & Zhao, Xinyao, 2024. "How does node centrality in a financial network affect asset price prediction?," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  14. Christophe Chorro & Emmanuelle Jay & Philippe de Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03216938, HAL.
  15. Chakrabarti, Arnab & Chakrabarti, Anindya S., 2020. "Fractional Differencing: (In)stability of Spectral Structure and Risk Measures of Financial Networks," IIMA Working Papers WP 2020-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  16. Dimitar Kitanovski & Igor Mishkovski & Viktor Stojkoski & Miroslav Mirchev, 2024. "Network-based diversification of stock and cryptocurrency portfolios," Papers 2408.11739, arXiv.org, revised Mar 2025.
  17. Jin, Lifu & Zheng, Bo & Jiang, Xiongfei & Xiong, Long & Zhang, Jiu & Ma, Jiahao, 2025. "Dynamic cross-correlation in emerging cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 668(C).
  18. Shreya Patki & Roy H. Kwon & Yuri Lawryshyn, 2024. "Centrality-Based Equal Risk Contribution Portfolio," Risks, MDPI, vol. 12(1), pages 1-17, January.
  19. Bai, Ling & Xiong, Long & Zhao, Na & Xia, Ke & Jiang, Xiong-Fei, 2022. "Dynamical structure of social map in ancient China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  20. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2019. "Smart network based portfolios," Papers 1907.01274, arXiv.org.
  21. Pawanesh, Pawanesh & Ansari, Imran & Sahni, Niteesh, 2025. "Exploring the core–periphery and community structure in the financial networks through random matrix theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 661(C).
  22. Zhong, Yannan & Xu, Weijun & Li, Hongyi & Zhong, Weiwei, 2024. "Distributed mean reversion online portfolio strategy with stock network," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1143-1158.
  23. Zhang, Jiu & Jin, Li-Fu & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2022. "Simplified calculations of time correlation functions in non-stationary complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  24. Raymond Ka-Kay Pang & Oscar Granados & Harsh Chhajer & Erika Fille Legara, 2020. "An analysis of network filtering methods to sovereign bond yields during COVID-19," Papers 2009.13390, arXiv.org, revised Feb 2021.
  25. Alejandro Rodriguez Dominguez, 2022. "Portfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers," Papers 2202.08921, arXiv.org, revised Dec 2022.
  26. Yang, Liwei & Liu, Rumei & Zhang, Jianing, 2025. "Adaptive online portfolio selection incorporating systematic risk of the financial market," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
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