arXiv subjects

Gian Paolo Clemente

Publications and source records attributed to Gian Paolo Clemente.

22 records · Page 2Linked to original sources

arXiv2018

Asset allocation: new evidence through network approaches

The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges capture the dependence structure of the system. Three different methods are proposed in order to extract the dependence structure between assets in a network context. Starting from this modified structure, we formulate and then we solve the asset allocation problem. We find that the portfolios obtained through a network-based approach are composed mainly of peripheral assets, which are poorly connected with the others. These portfolios, in the majority of cases, are characterized by an higher trade-off between performance and risk with respect to the traditional Global Minimum Variance (GMV) portfolio. Additionally, this methodology benefits of a graphical visualization of the selected portfolio directly over the graphic layout of the network, which helps in improving our understanding of the optimal strategy.

q-fin.PM↗

arXiv2017

Directed clustering in weighted networks: a new perspective

In this paper, we consider the problem of assessing local clustering in complex networks. Various definitions for this measure have been proposed for the cases of networks having weighted edges, but less attention has been paid to both weighted and directed networks. We provide a new local clustering coefficient for this kind of networks, starting from those existing in the literature for the weighted and undirected case. Furthermore, we extract from our coefficient four specific components, in order to separately consider different link patterns of triangles. Empirical applications on several real networks from different frameworks and with different order are provided. The performance of our coefficient is also compared with that of existing coefficients in the literature.

physics.soc-ph↗

arXiv2016

Novel Bounds for the Normalized Laplacian Estrada and Normalized Energy Index of Graphs

For a simple and connected graph, several lower and upper bounds of graph invariants expressed in terms of the eigenvalues of the normalized Laplacian matrix have been proposed in literature. In this paper, through a unified approach based on majorization techniques, we provide some novel inequalities depending on additional information on the localization of the eigenvalues of the normalized Laplacian matrix. Some numerical examples show how sharper results can be obtained with respect to those existing in literature.

math.CO↗

arXiv2015

New Bounds for the Sum of Powers of Normalized Laplacian Eigenvalues of Graphs

For a simple and connected graph, a new graph invariant $s_α^{*}(G)$, defined as the sum of powers of the eigenvalues of the normalized Laplacian matrix, has been introduced by Bozkurt and Bozkurt in [7]. Lower and upper bounds have been proposed by the authors. In this paper, we localize the eigenvalues of the normalized Laplacian matrix by adapting a theoretical method, proposed in Bianchi and Torriero ([5]), based on majorization techniques. Through this approach we derive upper and lower bounds of $s_α^{*}(G)$. Some numerical examples show how sharper results can be obtained with respect to those existing in literature.

math.CO↗