Topological data analysis in investment decisions
作者：
Highlights：
• We explore the applications of topological data analysis in investment decision making.
• A new strategy based on L1 norms of persistence landscape is proposed to filter assets.
• Extensive empirical analysis is performed on assets from economies across the world.
• Enhanced indexing models are solved to obtain optimal portfolios from the filtered assets.
• Comparative studies show that the proposed strategy leads to more robust portfolios.
摘要
•We explore the applications of topological data analysis in investment decision making.•A new strategy based on L1 norms of persistence landscape is proposed to filter assets.•Extensive empirical analysis is performed on assets from economies across the world.•Enhanced indexing models are solved to obtain optimal portfolios from the filtered assets.•Comparative studies show that the proposed strategy leads to more robust portfolios.
论文关键词：Topological data analysis,Persistence landscape,Takens’ embedding,Portfolio selection,Enhanced indexing
论文评审过程：Received 18 August 2019, Revised 11 January 2020, Accepted 18 January 2020, Available online 20 January 2020, Version of Record 26 January 2020.
论文官网地址：https://doi.org/10.1016/j.eswa.2020.113222
