Sparse Portfolio Selection via Topological Data Analysis based Clustering

By Anubha Goel, Damir Filipović, Puneet Pasricha

Published 2024-01-30

Everscope rating

1441.4

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Topological Data Analysis based Clustering. Problem types: Portfolio Optimization, Index Tracking, Dimensionality Reduction.

arXiv:2401.16920 · Paper rankings

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