Portfolio Creation Using Graph Characteristics and Testing Its Performance

Jakub Danko, Vincent Soltés and Tomas Bindzar

Montenegrin Journal of Economics, 2022, vol. 18, issue 1, 7-17

Abstract: The aim of this paper is to propose a method for selecting underlying assets for the investment portfolio so that we can achieve a maximum expected return with minimal risk. For this purpose, we describe the portfolio creation process using the minimum spanning tree method, a graph theory tool. Using this theory, we select individual stocks from the Dow Jones Industrial Average index which we include in the portfolio and then compare the performance of such a portfolio with three alternative investments.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:mje:mjejnl:v:18:y:2022:i:1:7-17

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