Based on data of selected stocks from Indian equity market, this study gives a mix of strategies that can be effectively used for portfolio selections and for construction of systemic-risk tolerant portfolios.
Authors
Biplab Bhatacharjee, Associate Professor, Jindal Global Business School, O.P. Jindal Global University, Sonipat, Haryana, India.
Ravinder Kumar Verma, Assistant Professor, Jindal Global Business School, O.P. Jindal Global University, Sonipat, Haryana, India.
Summary
The study presents a case of portfolio selection, allocation, and optimization using network-based methods. The study data consisted of selected stocks from Indian equity market. The computational analysis performed explores the use of networks science methods such as MST, Threshold filtering, centrality analysis, and disparity filtering.
The portfolio selected based on these methods are further constructed, optimized and the evaluated using series of metrics such as reliability of portfolio, realized risk, and degree of reduction in the effective portfolio dimension. This study thus gives a mix of strategies that can be effectively used for portfolio selections and for construction of systemic-risk tolerant portfolios.
Published in: Sharma, S.K., Dwivedi, Y.K., Metri, B., Lal, B., Elbanna, A. (eds) Transfer, Diffusion and Adoption of Next-Generation Digital Technologies. TDIT 2023. IFIP Advances in Information and Communication Technology, vol 697. Springer, Cham.
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