Portfolio optimization based on network centralities:Which centrality is better for asset selection during global crises?  

作　　者：Gang-Jin Wang Huahui Huai You Zhu Chi Xie Gazi Salah Uddin 

机构地区：[1]Business School and Center for Finance and Investment Management,Hunan University,Changsha,410082,China [2]Hunan Province Key Laboratory of Philosophy and Social Science of Industrial Digital Intelligence Finance,Changsha,410082,China [3]Department of Management and Engineering,Linköping University,58183,Linköping,Sweden [4]Cambridge Centre for Economic and Public Policy(CCEPP),University of Cambridge,Cambridge,United Kingdom

出　　处：《Journal of Management Science and Engineering》2024年第3期348-375,共28页管理科学学报（英文版）

基　　金：supported by the National Natural Science Foundation of China(Grant nos.72271087,71871088 and 71971079);National Social Science Foundation of China(21ZDA114);Hunan Provincial Natural Science Foundation of China(21JJ20019);the Huxiang Youth Talent Support Program.

摘　　要：We construct correlation-based networks linking 86 assets(stock indices,bond indices,foreign exchange rates,commodity futures,and cryptocurrencies)and analyze the impact of asset selection on portfolio optimization using different centrality measures(including degree,eigenvector,eccentricity,betweenness,PageRank,and hybrid centralities).In times of a global crisis,peripheral assets located in cross-market networks are more suitable for investment.By comparing portfolio performance based on different centrality measures,we find that(i)hybrid,eigenvector,and PageRank centralities can best improve portfolio performance;(ii)degree centrality is suitable for larger portfolios;and(iii)eccentricity and betweenness centralities are unsuitable for network optimization portfolios.In response,we explain them based on the construction principle of centrality measures.Additionally,our optimal portfolios suggest that investors pay more attention to the role of emerging countries,which are less exposed to external shocks and whose financial markets are more likely to remain stable.

关 键 词：Financial network Centrality measures Portfolio optimization Asset selection Global crisis 

分 类 号：F83[经济管理—金融学]