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

Federica Ricca and Andrea Scozzari

European Journal of Operational Research, 2024, vol. 312, issue 2, 700-717

Abstract: The paper deals with the classical problem of selecting a portfolio in the financial market and follows a risk-return optimization approach. The main issue in portfolio selection is capturing the dependency structure of the returns of the different assets. In the well-known Markowitz models this is measured by the variance/covariance matrix of the assets’ returns. Recent works have focused on a new way of modeling the dependency between returns of different assets by means of the so called “market graph” or “correlation graph”.

Keywords: Portfolio optimization; Asset selection; Market correlation graph; Network assortative mixing; Mixed integer programming (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:312:y:2024:i:2:p:700-717

DOI: 10.1016/j.ejor.2023.07.010

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