Network-based asset allocation strategies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F19%3A00108925" target="_blank" >RIV/00216224:14560/19:00108925 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/abs/pii/S106294081830072X" target="_blank" >https://www.sciencedirect.com/science/article/abs/pii/S106294081830072X</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.najef.2018.06.008" target="_blank" >10.1016/j.najef.2018.06.008</a>
Alternative languages
Result language
angličtina
Original language name
Network-based asset allocation strategies
Original language description
In this study, we construct financial networks in which nodes are represented by assets and where edges are based on long-run correlations. We construct four networks (complete graph, a minimum spanning tree, a planar maximally filtered graph, and a threshold significance graph) and use three centrality measures (betweenness, eigenvalue centrality, and the expected force). To improve risk-return characteristics of well-known return maximization and risk minimization benchmark portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial networks. From a sample of 45 assets (stock market indices, bond and money market instruments, commodities, and foreign exchange rates) and from data for 1999 to 2015, we show that irrespective of the network and centrality employed, the proposed network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk-return characteristics. Improvements made to portfolio strategies based on risk minimization are also robust to transaction costs.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
The North American Journal of Economics and Finance
ISSN
1062-9408
e-ISSN
1879-0860
Volume of the periodical
47
Issue of the periodical within the volume
January
Country of publishing house
US - UNITED STATES
Number of pages
21
Pages from-to
516-536
UT code for WoS article
000457665700034
EID of the result in the Scopus database
2-s2.0-85049314459