Billio, Monica; Calès, Ludovic; Guegan, Dominique - HAL - 2009
investable portfolios. Then, considering portfolio vicinity in terms of turnover, we represent the investment policy as a graph … portfolios. Our first model for the evolution of a dynamic portfolio is a random walk on the graph corresponding to the … investment policy chosen. Next, using graph theory and quantum probability, we compute the probabilities for a dynamic portfolio …