Billio, Monica; Calès, Ludovic; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the...
