Optimal portfolio for Basic DAGs

Diego Attilio Mancuso*, Diego Zappa

*Corresponding author

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

Starting from the Markowitz’s formula for a portfolio we compute the solutions for three structures of dependencies and use acyclic directed graphs (DAGs) to represent the structures. Same levels of returns and volatilities are adopted for all assets in order to focus just on the role of correlations. We start with two structures of dependencies among three assets. We then compute the optimal solution for a four assets portfolio whose DAG is the superposition of the previous patterns.
Original languageEnglish
Title of host publicationMathematical and Statistical Methods for Actuarial Sciences and Finance
EditorsGilli M., Perna C., Pizzi C., Sibillo M. Corazza M.
Pages329-335
Number of pages7
DOIs
Publication statusPublished - 2021

Keywords

  • Financial modelling
  • Graphical models
  • markowitz's portfolio

Fingerprint

Dive into the research topics of 'Optimal portfolio for Basic DAGs'. Together they form a unique fingerprint.

Cite this