skip to main content
Visitante
Meu Espaço
Minha Conta
Sair
Identificação
This feature requires javascript
Tags
Revistas Eletrônicas (eJournals)
Livros Eletrônicos (eBooks)
Bases de Dados
Bibliotecas USP
Ajuda
Ajuda
Idioma:
Inglês
Espanhol
Português
This feature required javascript
This feature requires javascript
Primo Search
Busca Geral
Busca Geral
Acervo Físico
Acervo Físico
Produção Intelectual da USP
Produção USP
Search For:
Clear Search Box
Search in:
Busca Geral
Or hit Enter to replace search target
Or select another collection:
Search in:
Busca Geral
Busca Avançada
Busca por Índices
This feature requires javascript
This feature requires javascript
New Approach to Portfolio Creation Using the Minimum Spanning Tree Theory and Its Robust Evaluation
Danko, Jakub ; Šoltés, Vincent ; Bindzár, Tomáš
Kvalita inovácia prosperita, 2020-01, Vol.24 (2), p.22
Trencin: Technical University of Kosice
Sem texto completo
Citações
Citado por
Serviços
Detalhes
Resenhas & Tags
Nº de Citações
This feature requires javascript
Enviar para
Adicionar ao Meu Espaço
Remover do Meu Espaço
E-mail (máximo 30 registros por vez)
Imprimir
Link permanente
Referência
EasyBib
EndNote
RefWorks
del.icio.us
Exportar RIS
Exportar BibTeX
This feature requires javascript
Título:
New Approach to Portfolio Creation Using the Minimum Spanning Tree Theory and Its Robust Evaluation
Autor:
Danko, Jakub
;
Šoltés, Vincent
;
Bindzár, Tomáš
Assuntos:
Graph theory
;
Investment policy
;
minimum spanning tree
;
Optimization
;
portfolio creation
;
Portfolio management
;
S&P 500
É parte de:
Kvalita inovácia prosperita, 2020-01, Vol.24 (2), p.22
Descrição:
Purpose: The aim of this paper is to describe another possibility of portfolio creation using the minimum spanning tree method. The research contributes to the existing body of knowledge with using and subsequently developing a new approach based on graph theory, which is suitable for an individual investor who wants to create an investment portfolio.Methodology/Approach: The analyzed data is divided into two (disjoint) sets – a training and a testing set. Portfolio comparisons were carried out during the test period, which always followed immediately after the training period and had a length of one year. For the sake of objectivity of the comparison, all proposed portfolios always consist of ten shares of equal weight.Findings: Based on the results from the analysis, we can see that our proposed method offers (on average) the best appreciation of the invested resources and also the least risky investment in terms of relative variability, what could be considered as very attractive from an individual investor’s point of view.Research Limitation/implication: In our paper, we did not consider any fees related to the purchase and holding of financial instruments in the portfolio. For periods with extreme market returns (sharp increase or decrease), the use of Pearson’s correlation coefficient is not appropriate.Originality/Value of paper: The main practical benefit of the research is that it presents and offers an interesting and practical investment strategy for an individual investor who wants to take an active approach to investment.
Editor:
Trencin: Technical University of Kosice
Idioma:
Inglês;Eslovaco
This feature requires javascript
This feature requires javascript
Voltar para lista de resultados
This feature requires javascript
This feature requires javascript
Buscando em bases de dados remotas. Favor aguardar.
Buscando por
em
scope:(USP_VIDEOS),scope:("PRIMO"),scope:(USP_FISICO),scope:(USP_EREVISTAS),scope:(USP),scope:(USP_EBOOKS),scope:(USP_PRODUCAO),primo_central_multiple_fe
Mostrar o que foi encontrado até o momento
This feature requires javascript
This feature requires javascript