Portfolio Selection Based on Hierarchical Clustering and Inverse-Variance Weighting.
Andrés ArévaloDiego LeónGermán Jairo Hernández-PérezPublished in: ICCS (3) (2019)
Keyphrases
- hierarchical clustering
- portfolio selection
- portfolio optimization
- clustering method
- clustering algorithm
- robust optimization
- hierarchical clustering algorithm
- single linkage
- financial markets
- k means
- partitional clustering
- multiple objectives
- optimal portfolio
- hierarchical clustering methods
- single link
- long term
- risk management
- knowledge discovery
- optimal solution
- similarity measure