Optimal portfolio for Basic DAGs

Diego Attilio Mancuso; Diego Zappa

doi:10.1007/978-3-030-78965-7_48

Optimal portfolio for Basic DAGs

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Abstract

Starting from the Markowitz’s formula for a portfolio we compute the solutions for three structures of dependencies and use acyclic directed graphs (DAGs) to represent the structures. Same levels of returns and volatilities are adopted for all assets in order to focus just on the role of correlations. We start with two structures of dependencies among three assets. We then compute the optimal solution for a four assets portfolio whose DAG is the superposition of the previous patterns.

Lingua originale	English
Titolo della pubblicazione ospite	Mathematical and Statistical Methods for Actuarial Sciences and Finance
Editore	Springer, Cham
Pagine	329-335
Numero di pagine	7
ISBN (stampa)	978-3-030-78964-0
DOI	https://doi.org/10.1007/978-3-030-78965-7_48
Stato di pubblicazione	Pubblicato - 2021

Keywords

Financial modelling
Graphical models
markowitz's portfolio

Accesso al documento

10.1007/978-3-030-78965-7_48

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KW - Graphical models

KW - markowitz's portfolio

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Optimal portfolio for Basic DAGs

Abstract

Keywords

Accesso al documento

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