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Portfolio optimization based on network topology

Citations

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Cited by:

  1. Dariusz Siudak, 2022. "The effect of self-organizing map architecture based on the value migration network centrality measures on stock return. Evidence from the US market," PLOS ONE, Public Library of Science, vol. 17(11), pages 1-31, November.
  2. 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).
  3. 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).
  4. 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).
  5. 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.
  6. Kamesh Korangi & Christophe Mues & Cristi'an Bravo, 2024. "Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks," Papers 2407.15532, arXiv.org, revised Feb 2025.
  7. 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.
  8. 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.
  9. 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.
  10. 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).
  11. Amedeo Argentiero & Giovanni Bonaccolto & Giulio Pedrini, 2024. "Green finance: Evidence from large portfolios and networks during financial crises and recessions," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 31(3), pages 2474-2495, May.
  12. Mar Grande & Javier Borondo, 2025. "Embedding pairs trading in market networks: a network science approach to portfolio construction," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-11, December.
  13. 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).
  14. Shreya Patki & Roy H. Kwon & Yuri Lawryshyn, 2024. "Centrality-Based Equal Risk Contribution Portfolio," Risks, MDPI, vol. 12(1), pages 1-17, January.
  15. 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.
  16. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2022. "Smart network based portfolios," Annals of Operations Research, Springer, vol. 316(2), pages 1519-1541, September.
  17. 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.
  18. 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).
  19. 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).
  20. Mengting Li & Qifa Xu & Cuixia Jiang & Yezheng Liu, 2024. "The role of long‐ and short‐run correlation networks in international portfolio selection," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3147-3176, July.
  21. Herteliu, Claudiu & Levantesi, Susanna & Rotundo, Giulia, 2021. "Network analysis of pension funds investments," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 579(C).
  22. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2019. "Smart network based portfolios," Papers 1907.01274, arXiv.org.
  23. 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).
  24. 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.
  25. 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).
  26. 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.
  27. 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).
  28. Liping Wang & Jiawei Li & Lifan Zhao & Zhizhuo Kou & Xiaohan Wang & Xinyi Zhu & Hao Wang & Yanyan Shen & Lei Chen, 2023. "Methods for Acquiring and Incorporating Knowledge into Stock Price Prediction: A Survey," Papers 2308.04947, arXiv.org.
  29. Kundan Mukhia & Imran Ansari & S R Luwang & Md Nurujjaman, 2026. "Core-Periphery Dynamics in Market-Conditioned Financial Networks: A Conditional P-Threshold Mutual Information Approach," Papers 2601.00395, arXiv.org.
  30. Yuanrong Wang & Antonio Briola & Tomaso Aste, 2023. "Topological Portfolio Selection and Optimization," Papers 2310.14881, arXiv.org.
  31. 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.
  32. 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).
  33. 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).
  34. Evangelos Ioannidis & Iordanis Sarikeisoglou & Georgios Angelidis, 2023. "Portfolio Construction: A Network Approach," Mathematics, MDPI, vol. 11(22), pages 1-24, November.
  35. Mengting Li & Qifa Xu & Cuixia Jiang & Qinna Zhao, 2023. "The role of tail network topological characteristic in portfolio selection: A TNA‐PMC model," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 37-57, March.
  36. 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).
  37. 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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