Amini, Hamed; Chen, Yudong; Minca, Andreea; Qian, Xin - 2023
We develop a convex-optimization clustering algorithm for heterogeneous financial networks, in the presence of … recovery of the underlying clusters. In absence of any assumption on outliers, they are shown not to hinder the clustering of … rates compared to existing algorithms. For overlapping portfolio networks, we uncover a clustering structure supporting …