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Bank of Canada RSS Feedsen2024-03-28T18:39:23+00:00Classical Decomposition of Markowitz Portfolio Selection
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-21/
In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs.2020-06-05T13:51:15+00:00enClassical Decomposition of Markowitz Portfolio Selection2020-06-05Central bank researchStaff Working Paper 2020-21https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-21.pdfClassical Decomposition of Markowitz Portfolio SelectionChristopher DemoneOlivia Di MatteoBarbara CollignonJune 2020CC0C02