arnaud-schuele / complex-networks-approaches-for-portfolio-optimization

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Complex networks approaches for portfolio optimization

Summary: This code was written in the frame of my Master Thesis entitled "Complex networks approaches to portfolio optimization - A comparative perspective on the case of the 2010s" (2021), which is available at the University of St.Gallen upon request.
cls_pmfg_label
Figure: Planar Maximally Filtered Graph (PMFG) of some constitutents of the S&P500, where nodes represent assets and links express correlation-based distances between the nodes.

Author: Arnaud Schuele