Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets

This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying hier...

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Bibliographic Details
Main Authors: Emmanuel Jordy Menvouta, Sven Serneels, Tim Verdonck
Format: Article
Language:English
Published: KeAi Communications Co., Ltd. 2023-11-01
Series:Journal of Finance and Data Science
Subjects:
Portfolio allocation
Risk contribution
Hierarchical clustering
Linkage
Cellwise robustness
Distance correlation
Online Access:http://www.sciencedirect.com/science/article/pii/S2405918823000132

Internet

http://www.sciencedirect.com/science/article/pii/S2405918823000132

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