英文标题：
《Risk diversification: a study of persistence with a filtered
correlation-network approach》
---
作者：
Nicol\\\'o Musmeci and Tomaso Aste and Tiziana Di Matteo
---
最新提交年份：
2014
---
英文摘要：
The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build dynamically Planar Maximally Filtered Graphs from the correlation structure over a rolling window and we study the persistence of the associated Directed Bubble Hierarchical Tree (DBHT) clustering structure. We observe that the DBHT clustering structure is quite stable during the early 2000\' becoming gradually less persistent before the unfolding of the 2007-2008 crisis. The correlation structure eventually recovers persistence in the aftermath of the crisis settling up a new phase, distinct from the pre-cysts structure, where the market structure is less related to industrial sector activity. Notably, we observe that - presently - the correlation structure is loosing again persistence indicating the building-up of another, different, phase. Such dynamical changes in persistence and their occurrence at the unfolding of financial crises rises concerns about the effectiveness of correlation-based portfolio management tools for risk diversification.
---
中文摘要：
通过研究持续性和重复性及其对风险分散策略的影响的过滤网络方法，研究了股权收益相关结构随时间的演化。我们从滚动窗口上的相关结构构建动态平面最大过滤图，并研究相关有向气泡层次树（DBHT）聚类结构的持久性。我们观察到，在2000年初，DBHT聚集结构相当稳定，在2007-2008年危机爆发之前，其持续性逐渐减弱。在危机结束后，相关结构最终恢复了持续性，进入了一个新的阶段，不同于囊肿前的结构，在囊肿前的结构中，市场结构与工业部门活动的关系较校值得注意的是，我们观察到——目前——相关结构再次松动，表明另一个不同阶段的建立。这种持续性的动态变化及其在金融危机爆发时的发生，引发了人们对基于相关性的投资组合管理工具用于风险分散的有效性的担忧。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->