Correlation-diversified portfolio construction by finding maximum independent set in large-scale market graph.
Ryo HidakaYohei HamakawaJun NakayamaKosuke TatsumuraPublished in: CoRR (2023)
Keyphrases
- maximum independent set
- graph theory
- independent set
- graph theoretic
- decision making
- market data
- portfolio management
- stock market
- small scale
- cost function
- complex networks
- strongly connected
- portfolio optimization
- weighted graph
- maximum clique
- transaction costs
- minimum spanning tree
- stock price
- graph structure
- bipartite graph
- correlation coefficient
- social network analysis
- search algorithm
- optimal solution