This paper focuses on network portfolio selection approach based on different estimation methods for the covariance matrix. In particular the sample and shrinkage toward the constant correlation estimators are tested. A case study based on asset belonging to banking and insurance sector is developed.
Paolo Clemente, G., Grassi, R., Hitaj, A. (2019). Optimal Portfolio Selection via network theory in banking and insurance sector. In Smart Statistics for Smart Applications (pp. 197-204). Pearson.
Optimal Portfolio Selection via network theory in banking and insurance sector
Rosanna Grassi;Asmerilda Hitaj
2019
Abstract
This paper focuses on network portfolio selection approach based on different estimation methods for the covariance matrix. In particular the sample and shrinkage toward the constant correlation estimators are tested. A case study based on asset belonging to banking and insurance sector is developed.
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