An Application of Correlation Clustering to Portfolio Diversification

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dc.contributor.authorZhan, H.C.J.
dc.contributor.authorRea, W.
dc.contributor.authorRea, A.
dc.date.accessioned2015-08-17T02:27:41Z
dc.date.available2015-08-17T02:27:41Z
dc.date.issued2014en
dc.description.abstractThis paper presents a novel application of software developed for constructing a phylogenetic network to the correlation matrix for 126 stocks listed on the Shanghai A Stock Market. We show that by visualizing the correlation matrix using a Neighbor-Net network and using the circular ordering produced during the construction of the network we can reduce the risk of a diversified portfolio compared with random or industry group based selection methods in times of market increase.en
dc.identifier.citationZhan, H.C.J., Rea, W., Rea, A. (2014) An Application of Correlation Clustering to Portfolio Diversification. University of Canterbury. 49pp..en
dc.identifier.urihttp://hdl.handle.net/10092/10782
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.publisherUniversity of Canterbury. Mathematics and Statisticsen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectVisualizationen
dc.subjectNeighbour-Netsen
dc.subjectCorrelation Matrixen
dc.subjectDiversificationen
dc.subject.anzsrcFields of Research::35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk managementen
dc.titleAn Application of Correlation Clustering to Portfolio Diversificationen
dc.typeDiscussion / Working Papers
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