{"id":"https://openalex.org/W4308088237","doi":"https://doi.org/10.1109/ds-rt55542.2022.9932110","title":"Network Modularity based Clustering for Portfolio Allocation: a Monte-Carlo Simulation Study","display_name":"Network Modularity based Clustering for Portfolio Allocation: a Monte-Carlo Simulation Study","publication_year":2022,"publication_date":"2022-09-26","ids":{"openalex":"https://openalex.org/W4308088237","doi":"https://doi.org/10.1109/ds-rt55542.2022.9932110"},"language":"en","primary_location":{"id":"doi:10.1109/ds-rt55542.2022.9932110","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ds-rt55542.2022.9932110","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 IEEE/ACM 26th International Symposium on Distributed Simulation and Real Time Applications (DS-RT)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5053850873","display_name":"Stefano Ferretti","orcid":null},"institutions":[{"id":"https://openalex.org/I190397597","display_name":"University of Urbino","ror":"https://ror.org/04q4kt073","country_code":"IT","type":"education","lineage":["https://openalex.org/I190397597"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Stefano Ferretti","raw_affiliation_strings":["University of Urbino Carlo Bo,Department of Pure and Applied Science,Urbino,Italy","Department of Pure and Applied Science, University of Urbino Carlo Bo, Urbino, Italy"],"affiliations":[{"raw_affiliation_string":"University of Urbino Carlo Bo,Department of Pure and Applied Science,Urbino,Italy","institution_ids":["https://openalex.org/I190397597"]},{"raw_affiliation_string":"Department of Pure and Applied Science, University of Urbino Carlo Bo, Urbino, Italy","institution_ids":["https://openalex.org/I190397597"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019839016","display_name":"Sara Montagna","orcid":"https://orcid.org/0000-0001-5390-4319"},"institutions":[{"id":"https://openalex.org/I190397597","display_name":"University of Urbino","ror":"https://ror.org/04q4kt073","country_code":"IT","type":"education","lineage":["https://openalex.org/I190397597"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Sara Montagna","raw_affiliation_strings":["University of Urbino Carlo Bo,Department of Pure and Applied Science,Urbino,Italy","Department of Pure and Applied Science, University of Urbino Carlo Bo, Urbino, Italy"],"affiliations":[{"raw_affiliation_string":"University of Urbino Carlo Bo,Department of Pure and Applied Science,Urbino,Italy","institution_ids":["https://openalex.org/I190397597"]},{"raw_affiliation_string":"Department of Pure and Applied Science, University of Urbino Carlo Bo, Urbino, Italy","institution_ids":["https://openalex.org/I190397597"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5053850873"],"corresponding_institution_ids":["https://openalex.org/I190397597"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.16123348,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"104","last_page":"111"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9786999821662903,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9786999821662903,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7403267621994019},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6665077805519104},{"id":"https://openalex.org/keywords/scheme","display_name":"Scheme (mathematics)","score":0.5877684354782104},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.560068666934967},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.547969400882721},{"id":"https://openalex.org/keywords/modularity","display_name":"Modularity (biology)","score":0.5168914794921875},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4800316393375397},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.45835793018341064},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.4344182014465332},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4327147901058197},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.23460951447486877},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12920236587524414},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.12236684560775757},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.07582563161849976}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7403267621994019},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6665077805519104},{"id":"https://openalex.org/C77618280","wikidata":"https://www.wikidata.org/wiki/Q1155772","display_name":"Scheme (mathematics)","level":2,"score":0.5877684354782104},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.560068666934967},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.547969400882721},{"id":"https://openalex.org/C2779478453","wikidata":"https://www.wikidata.org/wiki/Q6889748","display_name":"Modularity (biology)","level":2,"score":0.5168914794921875},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4800316393375397},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.45835793018341064},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.4344182014465332},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4327147901058197},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.23460951447486877},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12920236587524414},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.12236684560775757},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.07582563161849976},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/ds-rt55542.2022.9932110","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ds-rt55542.2022.9932110","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2022 IEEE/ACM 26th International Symposium on Distributed Simulation and Real Time Applications (DS-RT)","raw_type":"proceedings-article"},{"id":"pmh:oai:cris.unibo.it:11585/994250","is_oa":false,"landing_page_url":"https://hdl.handle.net/11585/994250","pdf_url":null,"source":{"id":"https://openalex.org/S4306402579","display_name":"Archivio istituzionale della ricerca (Alma Mater Studiorum Universit\u00e0 di Bologna)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210117483","host_organization_name":"Istituto di Ematologia di Bologna","host_organization_lineage":["https://openalex.org/I4210117483"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/conferenceObject"},{"id":"pmh:oai:ora.uniurb.it:11576/2705378","is_oa":false,"landing_page_url":"https://hdl.handle.net/11576/2705378","pdf_url":null,"source":{"id":"https://openalex.org/S4377196377","display_name":"CINECA IRIS Institutional Research information system (University of Urbino)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I190397597","host_organization_name":"University of Urbino","host_organization_lineage":["https://openalex.org/I190397597"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/conferenceObject"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4000000059604645,"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W3123572919","https://openalex.org/W2612189809","https://openalex.org/W2084744418","https://openalex.org/W2111724235","https://openalex.org/W2617530030","https://openalex.org/W2150112933","https://openalex.org/W4327779378","https://openalex.org/W2123851407","https://openalex.org/W1559487694","https://openalex.org/W1995326659"],"abstract_inverted_index":{"The":[0],"need":[1],"for":[2],"effective":[3],"simulation":[4,56],"techniques,":[5],"when":[6,67],"studying":[7],"the":[8,139,143],"performance":[9],"of":[10,88,94,103],"portfolio":[11,81],"investments":[12],"in":[13,36,124,145],"financial":[14],"applications,":[15],"was":[16,20],"recognized":[17],"since":[18],"it":[19],"observed":[21],"that":[22,58,138],"backtesting":[23],"typically":[24],"introduces":[25],"significant":[26],"bias.":[27],"However,":[28],"while":[29],"Monte":[30],"Carlo":[31],"simulations":[32],"are":[33,74,86,97],"commonly":[34],"used":[35,60],"this":[37,118],"application":[38],"scenario,":[39],"up":[40],"to":[41,61],"now":[42],"no":[43],"general":[44,53],"frameworks":[45],"have":[46],"been":[47],"proposed.":[48],"This":[49],"paper":[50],"describes":[51],"a":[52,79,89],"modeling":[54],"and":[55,92,99,132],"framework":[57],"is":[59,106],"study":[62],"how":[63],"allocation":[64,82],"schemes":[65],"perform":[66],"different":[68,114],"synthetic":[69],"time":[70],"series":[71],"generation":[72,134],"models":[73],"employed.":[75],"Moreover,":[76],"we":[77],"devised":[78],"novel":[80,119],"scheme":[83,120,141],"where":[84],"assets":[85,96],"nodes":[87],"complex":[90],"network":[91],"communities":[93],"correlated":[95],"detected":[98],"measured":[100],"by":[101,109],"means":[102],"modularity.":[104],"Allocation":[105],"than":[107],"obtained":[108],"equally":[110],"distributing":[111],"weights":[112],"among":[113],"communities.":[115],"We":[116],"compare":[117],"against":[121],"state-of-the-art":[122],"approaches":[123],"various":[125],"scenarios,":[126],"under":[127],"Gaussian,":[128],"Geometric":[129],"Brownian":[130],"motion":[131],"ARFIMA":[133],"models.":[135],"Results":[136],"show":[137],"proposed":[140],"outperforms":[142],"others":[144],"many":[146],"scenarios.":[147]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
