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Portfolio creation using graph characteristics and testing its performance

Danko, Jakub; Soltes, Vincent; Bindzar, Tomas - In: Montenegrin journal of economics 18 (2022) 1, pp. 7-17

Persistent link: https://www.econbiz.de/10013204437

Portfolio optimization using minimum spanning tree model in the Moroccan stock exchange market

Berouaga, Younes; El Msiyah, Cherif; Madkour, Jaouad - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-20

Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the...

Persistent link: https://www.econbiz.de/10014284712

Extended graph formulation for the inequity aversion pricing problem on social networks

Chopra, Sunil; Park, Hyunwoo; Shim, Sangho - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1327-1344

Persistent link: https://www.econbiz.de/10013361630

The convergence evolution in Europe from a complex networks perspective

Papadimitriou, Theophilos; Gkonkas, Periklēs; … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-14

The evolution of the convergence among the European countries, including both Eurozone as well as non-Eurozone economies, is investigated in this paper. To do so, we construct correlation-based networks and study them by employing the Threshold Weighted-Minimum Dominating Set (TW-MDS) algorithm...

Persistent link: https://www.econbiz.de/10013471379

Airline business models and their network structures

Lange, Anne; Bier, Tobias - In: Logistics research 12 (2019) 1/6, pp. 1-14

Network structure is one parameter that feeds into airline business models. We analyze the networks of 58 European airlines including full service carriers, low cost carriers, regional and charter airlines. Eight network metrics are calculated to describe the various aspects of network...

Persistent link: https://www.econbiz.de/10012172472

SinkRank: An algorithm for identifying systemically important banks in payment systems

Soramäki, Kimmo; Cook, Samantha - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-28, pp. 1-27

The ability to accurately estimate the extent to which the failure of a bank disrupts the financial system is very … of a bank in a payment system and identifies banks most affected by the failure. SinkRank is based on absorbing Markov … chains, which are well-suited to model liquidity dynamics in payment systems. Because actual bank failures are rare and the …

Persistent link: https://www.econbiz.de/10010317198