This paper focuses on network portfolio selection approach based on different estimation methods for the covariance matrix. In particular the sample and shrinkage toward the constant correlation estimators are tested. A case study based on asset belonging to banking and insurance sector is developed
Clemente, G. P., Hitaj, A., Rosanna, G., Optimal Portfolio Selection via network theory in banking and insurance sector, Contributed paper, in Smart Statistics for Smart Applications, (Milano, 18-21 September 2019), Pearson, Milano 2019: 197-204 [http://hdl.handle.net/10807/141607]
Optimal Portfolio Selection via network theory in banking and insurance sector
Clemente, Gian Paolo
Primo
;Hitaj, AsmerildaSecondo
;
2019
Abstract
This paper focuses on network portfolio selection approach based on different estimation methods for the covariance matrix. In particular the sample and shrinkage toward the constant correlation estimators are tested. A case study based on asset belonging to banking and insurance sector is developed
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