Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification

Author:

Ricca FedericaORCID,Scozzari AndreaORCID

Funder

Ministero dell’Istruzione, dell’Università e della Ricerca

Sapienza Università di Roma

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference48 articles.

1. Extending assortativity: An application to weighted social networks;Arcagni;Journal of Business Research,2021

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. The architecture of complex weighted networks;Barrat;Proceedings of the National Academy of Sciences,2004

4. A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem;Benati;European Journal of Operational Research,2007

5. Graphs and hypergraphs;Berge,1973

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