Centrality-Based Equal Risk Contribution Portfolio

Centrality-Based Equal Risk Contribution Portfolio

This article combines the traditional definition of portfolio risk with minimum-spanning-tree-based “interconnectedness risk” to improve equal risk contribution portfolio performance. We use betweenness centrality to measure an asset’s importance in a market graph (network). After filtering the comp...

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Bibliographic Details
Main Authors: Shreya Patki, Roy H. Kwon, Yuri Lawryshyn
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Risks
Subjects:
networks
portfolio optimization
equal risk portfolio
asset allocation
centrality
market graph
Online Access:https://www.mdpi.com/2227-9091/12/1/8

Internet

https://www.mdpi.com/2227-9091/12/1/8

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