Portfolio Diversification with Clustering Techniques

Diversifying asset allocation is a crucial aspect of building a profitable portfolio. The resiliency of the portfolio depends on the optimization techniques as well as algorithms used in the asset allocation. Clustering techniques would help in designing a diversified portfolio. This study investiga...

Full description

Saved in:
Bibliographic Details
Main Authors: Das, Joy Dip, Bowala, Sulalitha, Thulasiram, Ruppa K., Thavaneswaran, Aerambamoorthy
Format: Conference Proceeding
Language:English
Subjects:
Affinity Propagation
Buildings
Clustering
Clustering algorithms
Computational intelligence
DBSCAN
Optimization
Portfolio Diversification
Portfolios
Resilience
Resource management
Online Access:Request full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Diversifying asset allocation is a crucial aspect of building a profitable portfolio. The resiliency of the portfolio depends on the optimization techniques as well as algorithms used in the asset allocation. Clustering techniques would help in designing a diversified portfolio. This study investigates the resiliency of different traditional and recently proposed data-driven portfolio techniques in conjunction with four clustering techniques under varying market conditions. The novelty of the study is to present a resilient portfolio optimization using DBSCAN and Affinity Propagation clustering techniques.
ISSN:2472-8322
DOI:10.1109/SSCI52147.2023.10371938