Title
A network approach to portfolio optimization and tracking problems
Code
GA19-11965S
Summary
The diffusion of network theory boosted in recent years, with the application of this discipline to the study of various complex systems. For example, the nodes in the network can represent assets in a portfolio. Proposed project is focused on three distinct problems, linked by a portfolio theory. These problems covers extension of graphical lasso to elliptical distributions and to nonparametric empirical distributions; application of the extended graphical lasso to (optimal) portfolio selection; application of network measures and sparse quantile graphical models to index tracking and portfolio optimization.
Start year
2019
End year
2022
Provider
Grantová agentura ČR
Category
Obecná forma
Type
Standardní projekty
Solver
Information system of research, development and innovation (in Czech)