PDF가 표시되지 않으면 여기를 클릭하여 다운로드

1
Kwon, S. H. and Lee, S. W. (2024), “The Impact of ESG Rating on Investment Efficiency of Equity Funds,” Korea Management Review, 53(1), pp.1-26. Google Scholar ›
2
Kim, M., Lee, D., Yim, W., An, T., Choi, I., and Kim, W. C. (2022), “On the Possibility of Incorporating Cryptocurrency Index into the U.S. ETF Market: From the Perspective of Systemic Risk and Mean-Variance Portfolio Optimization,” Journal of the Korean Institute of Industrial Engineers, 48(5), pp.509-518. Google Scholar ›
3
Song, I., Kim, Y., and Park, Y. K. (2021), “The Equity Fund Performance and Flow during Covid-19 Crisis in Korea,” Korea Management Review, 50(6), pp.1621-1640. Google Scholar ›
4
Choi, H. and Kim, Y. (2020), “An Empirical Study on Performance Determinants of Korean Venture Funds,” Korea Management Review, 49(2), pp.279-303. Google Scholar ›
5
Aste, T., Shaw, W., and Di Matteo, T.(2010), “Correlation structure and dynamics in volatile markets,” New Journal of Physics, 12(8), 085009. Google Scholar ›
6
Chang, T. J., Meade, N., Beasley, J. E., and Sharaiha, Y. M.(2000), “Heuristics for cardinality constrained portfolio optimisation,” Computers & Operations Research, 27(13), pp.1271-1302. Google Scholar ›
7
Choi, I., and Kim, W. C.(2025), “A multifaceted graph-wise network analysis of sector-based financial instruments' price-based discrepancies with diverse statistical interdependencies,” The North American Journal of Economics and Finance, 75, 102316. Google Scholar ›
8
Choi, I., Yun, W., and Kim, W. C.(2025), “Improving data efficiency for analyzing global exchange rate fluctuations based on nonlinear causal network-based clustering,” Annals of Operations Research, 352(3), pp.745-780. Google Scholar ›
9
Choueifaty, Y., and Coignard, Y.(2008), “Toward Maximum Diversification,” Journal of Portfolio Management, 35(1), pp.40-51. Google Scholar ›
10
Cohen, J.(1988), Statistical Power Analysis for the Behavioral Sciences, 2nd ed., Lawrence Erlbaum Associates, Hillsdale, NJ. Google Scholar ›
11
Gonzalez, T. F.(1985), “Clustering to minimize the maximum intercluster distance,” Theoretical Computer Science, 38, pp.293-306. Google Scholar ›
12
Jiang, K., Li, D., Gao, J., and Yu, J. X.(2014), “Factor Model Based Clustering Approach for Cardinality Constrained Portfolio Selection,” IFAC Proceedings Volumes, 47(3), pp.10713-10718. Google Scholar ›
13
López de Prado, M.(2016), “Building Diversified Portfolios that Outperform Out of Sample,” Journal of Portfolio Management, 42(4), pp.59-69. Google Scholar ›
14
Mantegna, R. N.(1999), “Hierarchical structure in financial markets,” European Physical Journal B, 11(1), pp.193-197. Google Scholar ›
15
Markowitz, H.(1952), “Portfolio Selection,” Journal of Finance, 7(1), pp.77-91. Google Scholar ›
16
Peralta, G., and Zareei, A.(2016), “A network approach to portfolio selection,” Journal of Empirical Finance, 38, pp.157-180. Google Scholar ›
17
Pozzi, F., Di Matteo, T., and Aste, T.(2013), “Spread of risk across financial markets: better to invest in the peripheries,” Scientific Reports, 3, 1665. Google Scholar ›
18
Statman, M.(1987), “How Many Stocks Make a Diversified Portfolio?,” Journal of Financial and Quantitative Analysis, 22(3), pp.353-363. Google Scholar ›
19
Tumminello, M., Aste, T., Di Matteo, T., and Mantegna, R. N.(2005), “A tool for filtering information in complex systems,” Proceedings of the National Academy of Sciences, 102(30), pp.10421-10426. Google Scholar ›
20
Woodside-Oriakhi, M., Lucas, C., and Beasley, J. E.(2011), “Heuristic algorithms for the cardinality constrained efficient frontier,” European Journal of Operational Research, 213(3), pp.538-550. Google Scholar ›

그래프 기반 자산선택의 분산효과 분석