Search Results for author: Longfeng Zhao

Found 2 papers, 0 papers with code

Portfolio optimization with idiosyncratic and systemic risks for financial networks

no code implementations22 Nov 2021 Yajie Yang, Longfeng Zhao, Lin Chen, Chao Wang, Jihui Han

The two risks are measured by the idiosyncratic variance and the network clustering coefficient derived from the asset correlation networks, respectively.

Portfolio Optimization

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