Patki, Shreya; Kwon, Roy H.; Lawryshyn, Yuri - In: Risks : open access journal 12 (2024) 1, pp. 1-17
risk" to improve equal risk contribution portfolio performance. We use betweenness centrality to measure an asset … the centrality score and convert it to a centrality heuristic. We develop an adjusted variance-covariance matrix using the … centrality heuristic to bias the model to assign peripheral assets in the minimum spanning tree higher weights. We test this …