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040 |aCaOODSP|beng|erda|cCaOODSP
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2020-21E-PDF
1001 |aDemone, Christopher, |eauthor.
24510|aClassical decomposition of Markowitz portfolio selection / |cby Christopher Demone, Olivia Di Matteo and Barbara Collignon.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020.
264 4|c©2020
300 |a1 online resource (31 pages) : |bgraphs (mostly colour).
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-21
500 |aCover title.
500 |a"Last updated: June 4, 2020."
504 |aIncludes bibliographical references.
5203 |a"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. We show that the "superimposition" of all graphs in a set allows for the (re)construction of the efficient frontiers. We also identify a relationship between the Sharpe ratio (SR) of a given portfolio and the topology of the corresponding network of assets. More specifically, we suggest SR = f(topology) ≈ f(ECC/BC), where ECC is the eccentricity and BC is the betweenness centrality averaged over all nodes in the network. At each threshold, the structural analysis of the correlated networks provides unique insights into the relationships between assets, agencies, risks, returns and cash flows. We observe that the best threshold or best graph representation corresponds to the portfolio with the highest Sharpe ratio. We also show that simulated annealing performs better than a gradient-based solver"--Abstract, page [1].
546 |aIncludes abstract in French.
650 0|aInvestment analysis|zCanada.
650 6|aGestion de portefeuille|zCanada.
650 6|aAnalyse financière|zCanada.
650 0|aPortfolio management|zCanada.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2020-21.|w(CaOODSP)9.806221
85640|qPDF|s2.56 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-21-eng.pdf