Optimal portfolio for Basic DAGs

Diego Attilio Mancuso; Diego Zappa

doi:10.1007/978-3-030-78965-7_48

Optimal portfolio for Basic DAGs

Diego Attilio Mancuso^*, Diego Zappa

^*Corresponding author

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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 language	English
Title of host publication	Mathematical and Statistical Methods for Actuarial Sciences and Finance
Publisher	Springer, Cham
Pages	329-335
Number of pages	7
ISBN (Print)	978-3-030-78964-0
DOIs	https://doi.org/10.1007/978-3-030-78965-7_48
Publication status	Published - 2021

All Science Journal Classification (ASJC) codes

General Economics,Econometrics and Finance
General Business,Management and Accounting

Keywords

Financial modelling
Graphical models
markowitz's portfolio

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10.1007/978-3-030-78965-7_48

Cite this

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KW - Graphical models

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KW - Graphical models

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ER -

Optimal portfolio for Basic DAGs

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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