“Too Connected to Fail”: Network Portfolio Construction

Abstract: Citation: Diversification is the cornerstone of risk-adjusted portfolio construction. Yet, despite being a well-established principle in finance, diversification has been overlooked in pairs trading strategies, which often focus solely on selecting the most cointegrated pairs in isolation from the broader market structure and without accounting for their combined behavior within a portfolio. Here, weContinue reading ““Too Connected to Fail”: Network Portfolio Construction”