dc.contributor.advisor | Chakrabarti, Anindya S. | |
dc.contributor.author | Mehra, Shubham | |
dc.date.accessioned | 2019-08-19T22:36:50Z | |
dc.date.available | 2019-08-19T22:36:50Z | |
dc.date.issued | 2018 | |
dc.identifier.uri | http://hdl.handle.net/11718/22332 | |
dc.description.abstract | This study aims to nd a statistical relationship between the Markowitz
portfolios and Eigen portfolios using concepts from graph theory as the linkage
between them. The former is constructed using a risk-return framework while
the latter is constructed using the decomposition of the variance-covariance
matrix of the returns into its principal components. In our earlier research,
we found that centrality of an asset in the asset graph measured using eigen-
vector centrality (EVC) score is statistically related to the portfolio weight of
that asset in a Markowitz portfolio. In this paper, we search for a statistical
relationship between the EVC scores of assets in a portfolio with the leading
eigenvector portfolios. The analysis is carried out in two steps - rst, we
establish that the information carried by EVC centrality measure is similar
to that of the excess return Fama-French factor and second, we and that the
excess return factor explains a large proportion of portfolios generated using
eigen decomposition. | en_US |
dc.publisher | Indian Institute of Management Ahmedabad | en_US |
dc.relation.ispartofseries | SP_2483 | en_US |
dc.subject | Eigen- vector centrality | en_US |
dc.subject | New York Stock Exchange | en_US |
dc.subject | Markowitz portfolios | en_US |
dc.subject | Statistical relationship | en_US |
dc.title | Finding statistical relationship between Markowitz portfolios and Eigen portfolios | en_US |
dc.type | Student Project | en_US |