Ấn phẩm:
The integration of network connectedness into portfolio optimization: A literature review
Nhan đề song song
Tác giả
Thai Bui Hai An PhD.
Le To Minh Tan PhD.
Phan Nhat Quang MSc.
Hoang Hanh Nguyen MSc.
Le To Minh Tan PhD.
Phan Nhat Quang MSc.
Hoang Hanh Nguyen MSc.
Người hướng dẫn
Tác giả khác
Năm xuất bản
2026
Nhà xuất bản
Học viện Tài chính
Tóm tắt
This literature review explores the integration of network topology into portfolio optimization frameworks. By conceptualizing financial markets as interconnected systems of nodes and links, researchers leverage graph theory to uncover hidden systemic dependencies and enhance risk management. The review synthesizes diverse methodologies, including Minimum Spanning Trees, Planar Maximally Filtered Graph and multilayer synthetic networks. A central debate concerns the systemic dimension of assets: while evidence from mature markets suggests a negative relationship between asset centrality and optimal portfolio weights, emerging digital industries like blockchain present contradict results. In these innovation-driven sectors, the resource-based view indicates that central firms possess superior resource access and innovation capability, signaling quality over systemic risk. Evaluating vulnerabilities across different economies, this review identifies several literature gaps and suggests a roadmap for future research.
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vie
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Chủ đề
network topology , centrality measures , portfolio optimization , systemic risk , asset allocation
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