Patki, Shreya; Kwon, Roy H.; Lawryshyn, Yuri - In: Risks : open access journal 12 (2024) 1, pp. 1-17
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...