New Approach to Portfolio Creation Using the Minimum Spanning Tree Theory and Its Robust Evaluation

Jakub Danko, Vincent Šoltés, Tomáš Bindzár

New Approach to Portfolio Creation Using the Minimum Spanning Tree Theory and Its Robust Evaluation

Číslo: 2/2020
Periodikum: Quality Innovation Prosperity
DOI: 10.12776/qip.v24i2.1450

Klíčová slova: portfolio creation; S&P 500; minimum spanning tree; graph theory; optimization

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Anotace: 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.Zobrazit více »