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Title of Proposal: Merging Complex Financial Interactions with Portfolio Construction Techniques (PoCoTe)
PoCoTe project investigates alternative methods to construct portfolios and suggests an interdisciplinary framework of research incorporating complex interactions and non-normality in the strategic asset allocation process. Specifically, we combine methods from multivariate time series analysis, such as connectivity measures, from graph theory and complex networks, variable selection and financial methods for portfolio construction. Techniques of the proposed methodology has been applied independently across a range of disciplines, however have never been jointly considered.
Scientific Areas: Behavioral Finance, Financial Economics, Applied Mathematics and Econometrics