Correlation-Diversified Portfolio Construction by Finding Maximum Independent Set in Large-Scale Market Graph
Correlation-diversified portfolios can be constructed by finding the maximum independent sets (MISs) in market graphs with edges corresponding to correlations between two stocks. The computational complexity of finding the MIS increases exponentially as the size of the market graph increases, making...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2023-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/10353949/ |