Portfolio selection using network filtering methods: A graph theoretic approach

Bhatacharjee, Biplab and Verma, Ravinder Kumar (2023) Portfolio selection using network filtering methods: A graph theoretic approach. In: Transfer, diffusion and adoption of next-generation digital technologies : IFIP WG 8.6 International working conference on transfer and diffusion of IT, TDIT 2023, Nagpur, India, December 15–16, 2023, Proceedings, Part I. IFIP Advances in Information and Communication Technology, 697 . Springer, Cham, pp. 246-257. ISBN 978-3-031-50188-3

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The study presents a case of portfolio selection, allocation, and optimization using network-based methods. The study data consisted of selected stocks from Indian equity market. The computational analysis performed explores the use of networks science methods such as MST, Threshold filtering, centrality analysis, and disparity filtering. The portfolio selected based on these methods are further constructed, optimized and the evaluated using series of metrics such as reliability of portfolio, realized risk, and degree of reduction in the effective portfolio dimension. This study thus gives a mix of strategies that can be effectively used for portfolio selections and for construction of systemic-risk tolerant portfolios

Item Type: Book Section
Keywords: Portfolio section | Network Science | Financial Networks | Econophysics
Subjects: Social Sciences and humanities > Decision Sciences > Information Systems and Management
JGU School/Centre: Jindal Global Business School
Depositing User: Subhajit Bhattacharjee
Date Deposited: 17 Dec 2023 07:32
Last Modified: 18 Dec 2023 05:40
Official URL: https://doi.org/10.1007/978-3-031-50188-3_22
URI: https://pure.jgu.edu.in/id/eprint/7055


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