Optimal Portfolio Selection via network theory in banking and insurance sector

Gian Paolo Clemente; Asmerilda Hitaj; G. Rosanna

Optimal Portfolio Selection via network theory in banking and insurance sector

Gian Paolo Clemente^*, Asmerilda Hitaj, G. Rosanna

^*Autore corrispondente per questo lavoro

Risultato della ricerca: Contributo in libro › Contributo a convegno

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

Lingua originale	English
Titolo della pubblicazione ospite	Smart Statistics for Smart Applications
Pagine	197-204
Numero di pagine	8
Stato di pubblicazione	Pubblicato - 2019
Evento	SIS 2019 - Smart Statistics for Smart Applications - Milano Durata: 18 set 2019 → 21 set 2019

Convegno

Convegno	SIS 2019 - Smart Statistics for Smart Applications
Città	Milano
Periodo	18/9/19 → 21/9/19

Keywords

Banking and Insurance sector
Dependence,
Interconnectedness,
Networks
Portfolio selection

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@inproceedings{190d662929274ba3be3482cb1a20d8b2,

title = "Optimal Portfolio Selection via network theory in banking and insurance sector",

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",

keywords = "Banking and Insurance sector, Dependence,, Interconnectedness,, Networks, Portfolio selection, Banking and Insurance sector, Dependence,, Interconnectedness,, Networks, Portfolio selection",

author = "Clemente, {Gian Paolo} and Asmerilda Hitaj and G. Rosanna",

year = "2019",

language = "English",

isbn = "9788891915108",

pages = "197--204",

booktitle = "Smart Statistics for Smart Applications",

note = "SIS 2019 - Smart Statistics for Smart Applications ; Conference date: 18-09-2019 Through 21-09-2019",

}

TY - GEN

T1 - Optimal Portfolio Selection via network theory in banking and insurance sector

AU - Clemente, Gian Paolo

AU - Hitaj, Asmerilda

AU - Rosanna, G.

PY - 2019

Y1 - 2019

N2 - 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

AB - 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

KW - Banking and Insurance sector

KW - Dependence,

KW - Interconnectedness,

KW - Networks

KW - Portfolio selection

KW - Banking and Insurance sector

KW - Dependence,

KW - Interconnectedness,

KW - Networks

KW - Portfolio selection

UR - http://hdl.handle.net/10807/141607

M3 - Conference contribution

SN - 9788891915108

SP - 197

EP - 204

BT - Smart Statistics for Smart Applications

T2 - SIS 2019 - Smart Statistics for Smart Applications

Y2 - 18 September 2019 through 21 September 2019

ER -

Optimal Portfolio Selection via network theory in banking and insurance sector

Abstract

Convegno

Keywords

Altri file e collegamenti

Fingerprint

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