37 citations · 63 across the 7 of their papers we have counts for
Showing 2015Show all
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q-fin.PM2015
A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones
Hannah Cheng Juan Zhan, William Rea, Alethea Rea
We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on t…
q-fin.ST2015★ 1 cited
An Application of Correlation Clustering to Portfolio Diversification
Hannah Cheng Juan Zhan, William Rea, Alethea Rea
This paper presents a novel application of a clustering algorithm developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai…