Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/151362
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dc.contributor.authorXing, Frank Z.en_US
dc.contributor.authorCambria, Eriken_US
dc.contributor.authorWelsch, Roy E.en_US
dc.date.accessioned2021-06-23T05:24:55Z-
dc.date.available2021-06-23T05:24:55Z-
dc.date.issued2019-
dc.identifier.citationXing, F. Z., Cambria, E. & Welsch, R. E. (2019). Growing semantic vines for robust asset allocation. Knowledge-Based Systems, 165, 297-305. https://dx.doi.org/10.1016/j.knosys.2018.11.035en_US
dc.identifier.issn0950-7051en_US
dc.identifier.urihttps://hdl.handle.net/10356/151362-
dc.description.abstractThe vine structure has been widely studied as a graphical representation for high-dimensional dependence modeling, depicting complicated probability density functions, and robust correlation estimation. However, specification of the best vine structure is challenging as the number of candidate vine structures grows combinatorially when the number of elements increases. In this article, we propose to leverage semantic prior knowledge of assets extracted from their descriptive documents to find a suitable vine structure for financial portfolio optimization. A vine growing algorithm is provided and the robust covariance matrix estimation process is performed on this vine structure. Our construction of a semantic vine improves the state-of-the-art arbitrary vine-growing method in the context of robust correlation estimation and multi-period asset allocation. The effectiveness of our methods on a large scale is also demonstrated by experiments.en_US
dc.language.isoenen_US
dc.relation.ispartofKnowledge-Based Systemsen_US
dc.rights© 2018 Elsevier B.V. All rights reserved.en_US
dc.subjectEngineering::Computer science and engineeringen_US
dc.titleGrowing semantic vines for robust asset allocationen_US
dc.typeJournal Articleen
dc.contributor.schoolSchool of Computer Science and Engineeringen_US
dc.identifier.doi10.1016/j.knosys.2018.11.035-
dc.identifier.scopus2-s2.0-85058386370-
dc.identifier.volume165en_US
dc.identifier.spage297en_US
dc.identifier.epage305en_US
dc.subject.keywordsVineen_US
dc.subject.keywordsDependence Modelingen_US
item.grantfulltextnone-
item.fulltextNo Fulltext-
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