Development of an efficient cluster-based portfolio optimization model under realistic market conditions
Mahdi Massahi, Masoud Mahootchi, Alireza Arshadi Khamseh
| Year of publication: |
2020
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|---|---|
| Authors: | Massahi, Mahdi ; Mahootchi, Masoud ; Khamseh, Alireza Arshadi |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 59.2020, 5, p. 2423-2442
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| Subject: | Portfolio optimization | Realized efficient frontier | Time series clustering | Weighted dynamic time warping | Autocorrelation coefficient | Realistic market condition | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-019-01802-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012315071