We present a novel technique for cardinality-constrained index-tracking, a common task in the financial industry. Our approach is based on market graph models. We model our reference indices as market graphs and express the index-tracking problem as a quadratic K-medoids clustering problem. We...

We propose a random network model incorporating heterogeneity of agents and a continuous notion of homophily. Unlike the vast majority of the corresponding economic literature, we capture homophily in terms of similarity rather than equality of agents. We show that if links between similar...

We propose a random network model incorporating heterogeneity of agents and a continuous notion of homophily. Unlike the vast majority of the corresponding economic literature, we capture homophily in terms of similarity rather than equality by assuming that the probability of linkage between...