2 papers
q-fin.PM2021
Dynamic Portfolio Cuts: A Spectral Approach to Graph-Theoretic Diversification
Alvaro Arroyo, Bruno Scalzo, Ljubisa Stankovic +1
Stock market returns are typically analyzed using standard regression, yet they reside on irregular domains which is a natural scenario for graph signal processing. To this end, we…
q-fin.ST2021
Nonstationary Portfolios: Diversification in the Spectral Domain
Bruno Scalzo, Alvaro Arroyo, Ljubisa Stankovic +1
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such model…