Abstract
Replicating the Performance of a Portfolio of Stocks Using Minimum Dominating Set
By
Subhojit Biswas
Texas A&M University
| Abstract:
Finding the exact minimum dominating sets (MDS) is one of the well-known NP-hard problems of graph theory. Here, we determine the MDS of a given portfolio of a large number of stocks based on some associative measures (such as correlation). Then, the portfolio formed by MDS is compared with the original portfolio of stocks. It is challenging to find an optimal solution to the NP-hard problem. So, we devised a greedy algorithm, a local search algorithm, and a meta-heuristics algorithm to find the MDS. Finally, we used six portfolio instances to provide the computational results. |
Committee
Workshop
Conference
Student Paper
Key Dates
Communication
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