Optimal Portfolio Selection via network theory in banking and insurance sector

Gian Paolo Clemente, Asmerilda Hitaj, G. Rosanna

Risultato della ricerca: Contributo in libroContributo 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 originaleEnglish
Titolo della pubblicazione ospiteSmart Statistics for Smart Applications
Pagine197-204
Numero di pagine8
Stato di pubblicazionePubblicato - 2019
EventoSIS 2019 - Smart Statistics for Smart Applications - Milano
Durata: 18 set 201921 set 2019

Convegno

ConvegnoSIS 2019 - Smart Statistics for Smart Applications
CittàMilano
Periodo18/9/1921/9/19

Keywords

  • Banking and Insurance sector
  • Dependence,
  • Interconnectedness,
  • Networks
  • Portfolio selection

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