Wang, Gang-Jin; Huai, Huahui; Zhu, You; Chi, Xie; … - In: Journal of management science and engineering 9 (2024) 3, pp. 348-375
We construct correlation-based networks linking 86 assets (stock indices, bond indices, foreign exchange rates, commodity futures, and cryptocurrencies) and analyze the impact of asset selection on portfolio optimization using different centrality measures (including degree, eigenvector,...