Billio, Monica; Calès, Ludovic; Guégan, Dominique - In: European Journal of Operational Research 214 (2011) 3, pp. 759-767
This paper presents a novel theoretical framework to model the evolution of a dynamic portfolio (i.e., a portfolio whose weights vary over time), considering a given investment policy. The framework is based on graph theory and the quantum probability. Embedding the dynamics of a portfolio into...