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, G. P.
Primo
;
Hitaj, A.
Secondo
;
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
Inglese
Smart Statistics for Smart Applications
SIS 2019 - Smart Statistics for Smart Applications
Milano
Contributed paper
18-set-2019
21-set-2019
9788891915108
Pearson
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]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/141607
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