arXiv subjects

Hannah Cheng Juan Zhan

Publications and source records attributed to Hannah Cheng Juan Zhan.

2 recordsLinked to original sources

arXiv2015

A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones

We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average stocks from 2001 to 2013 for very small private investor sized portfolios. We find that the three network methods perform on par with randomly selected portfolios.

q-fin.PM↗

arXiv2015

An Application of Correlation Clustering to Portfolio Diversification

This paper presents a novel application of a clustering algorithm developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the correlation matrix using a Neighbor-Net network and using the circular ordering produced during the construction of the network we can reduce the risk of a diversified portfolio compared with random or industry group based selection methods in times of market increase.

q-fin.ST↗