{"id":"https://openalex.org/W3170310585","doi":"https://doi.org/10.1109/icassp43922.2022.9747670","title":"Dynamic Portfolio Cuts: A Spectral Approach to Graph-Theoretic Diversification","display_name":"Dynamic Portfolio Cuts: A Spectral Approach to Graph-Theoretic Diversification","publication_year":2022,"publication_date":"2022-04-27","ids":{"openalex":"https://openalex.org/W3170310585","doi":"https://doi.org/10.1109/icassp43922.2022.9747670","mag":"3170310585"},"language":"en","primary_location":{"id":"doi:10.1109/icassp43922.2022.9747670","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp43922.2022.9747670","pdf_url":null,"source":{"id":"https://openalex.org/S4363607702","display_name":"ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","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/A5039790316","display_name":"Alvaro Arroyo","orcid":null},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Alvaro Arroyo","raw_affiliation_strings":["Imperial College London,Department of EEE,London,UK,SW7 2BT"],"affiliations":[{"raw_affiliation_string":"Imperial College London,Department of EEE,London,UK,SW7 2BT","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018206410","display_name":"Bruno Scalzo","orcid":null},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Bruno Scalzo","raw_affiliation_strings":["Imperial College London,Department of EEE,London,UK,SW7 2BT"],"affiliations":[{"raw_affiliation_string":"Imperial College London,Department of EEE,London,UK,SW7 2BT","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074877434","display_name":"Ljubi\u0161a Stankovi\u0107","orcid":"https://orcid.org/0000-0002-9736-9036"},"institutions":[{"id":"https://openalex.org/I5936373","display_name":"University of Montenegro","ror":"https://ror.org/02drrjp49","country_code":"ME","type":"education","lineage":["https://openalex.org/I5936373"]}],"countries":["ME"],"is_corresponding":false,"raw_author_name":"Ljubisa Stankovic","raw_affiliation_strings":["University of Montenegro,Faculty of Electrical Engineering,Podgorica,Montenegro,81000"],"affiliations":[{"raw_affiliation_string":"University of Montenegro,Faculty of Electrical Engineering,Podgorica,Montenegro,81000","institution_ids":["https://openalex.org/I5936373"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103001848","display_name":"Danilo P. Mandic","orcid":"https://orcid.org/0000-0001-8432-3963"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Danilo P. Mandic","raw_affiliation_strings":["Imperial College London,Department of EEE,London,UK,SW7 2BT"],"affiliations":[{"raw_affiliation_string":"Imperial College London,Department of EEE,London,UK,SW7 2BT","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5039790316"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":6.8659,"has_fulltext":false,"cited_by_count":10,"citation_normalized_percentile":{"value":0.96880907,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"5468","last_page":"5472"},"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":0.9995999932289124,"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":0.9995999932289124,"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"}},{"id":"https://openalex.org/T10064","display_name":"Complex Network Analysis Techniques","score":0.996999979019165,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10241","display_name":"Functional Brain Connectivity Studies","score":0.9865999817848206,"subfield":{"id":"https://openalex.org/subfields/2805","display_name":"Cognitive Neuroscience"},"field":{"id":"https://openalex.org/fields/28","display_name":"Neuroscience"},"domain":{"id":"https://openalex.org/domains/1","display_name":"Life Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6159799695014954},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5338994264602661},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5258746147155762},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.4908662438392639},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.46480289101600647},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4596753418445587},{"id":"https://openalex.org/keywords/graph","display_name":"Graph","score":0.45214328169822693},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.4439617693424225},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.4429118037223816},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4402746558189392},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.3632029891014099},{"id":"https://openalex.org/keywords/theoretical-computer-science","display_name":"Theoretical computer science","score":0.26646167039871216},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.25186794996261597},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.21243810653686523},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2053760290145874},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.09256511926651001},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.09120455384254456}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6159799695014954},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5338994264602661},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5258746147155762},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.4908662438392639},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.46480289101600647},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4596753418445587},{"id":"https://openalex.org/C132525143","wikidata":"https://www.wikidata.org/wiki/Q141488","display_name":"Graph","level":2,"score":0.45214328169822693},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.4439617693424225},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.4429118037223816},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4402746558189392},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3632029891014099},{"id":"https://openalex.org/C80444323","wikidata":"https://www.wikidata.org/wiki/Q2878974","display_name":"Theoretical computer science","level":1,"score":0.26646167039871216},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.25186794996261597},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.21243810653686523},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2053760290145874},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.09256511926651001},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09120455384254456},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/icassp43922.2022.9747670","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icassp43922.2022.9747670","pdf_url":null,"source":{"id":"https://openalex.org/S4363607702","display_name":"ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)","raw_type":"proceedings-article"},{"id":"pmh:oai:RePEc:arx:papers:2106.03417","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"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":"preprint"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W142384176","https://openalex.org/W1587744656","https://openalex.org/W1997054581","https://openalex.org/W2084478869","https://openalex.org/W2100011707","https://openalex.org/W2100130321","https://openalex.org/W2125531986","https://openalex.org/W2152362799","https://openalex.org/W2157300063","https://openalex.org/W2164883547","https://openalex.org/W2414808552","https://openalex.org/W2476841360","https://openalex.org/W2610051737","https://openalex.org/W2610480131","https://openalex.org/W2780766754","https://openalex.org/W2796431263","https://openalex.org/W2798461040","https://openalex.org/W2969625472","https://openalex.org/W2979797117","https://openalex.org/W2995533131","https://openalex.org/W3016256274","https://openalex.org/W3026076535","https://openalex.org/W3028354575","https://openalex.org/W3036685317","https://openalex.org/W3104130320","https://openalex.org/W3107718410","https://openalex.org/W3107724517","https://openalex.org/W3108029334","https://openalex.org/W3114790718","https://openalex.org/W3122780569","https://openalex.org/W3123681585","https://openalex.org/W3124100609","https://openalex.org/W3124438845","https://openalex.org/W3124458696","https://openalex.org/W3124774912","https://openalex.org/W3127197688","https://openalex.org/W3162267844","https://openalex.org/W4253945888","https://openalex.org/W4255103909","https://openalex.org/W4287755062","https://openalex.org/W4312935561","https://openalex.org/W6776137863","https://openalex.org/W6779860234","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W3088143671","https://openalex.org/W3198789915","https://openalex.org/W2342245948","https://openalex.org/W2113583687","https://openalex.org/W2396009620","https://openalex.org/W3141254748","https://openalex.org/W3033755685","https://openalex.org/W4387811153","https://openalex.org/W4392682043","https://openalex.org/W1589314636"],"abstract_inverted_index":{"Stock":[0],"market":[1,29,67,105],"returns":[2],"are":[3,56,154],"typically":[4],"analyzed":[5],"using":[6,160],"standard":[7],"regression":[8],"models":[9],"yet":[10],"they":[11],"reside":[12],"on":[13],"irregular":[14],"domains,":[15],"a":[16,28,75,92,102],"natural":[17],"scenario":[18],"for":[19,44,83,139],"graph":[20,30,78,131],"signal":[21],"processing.":[22],"This":[23],"motivates":[24],"us":[25,119],"to":[26,35,59,87,94,120],"consider":[27],"as":[31,91],"an":[32,108],"intuitive":[33],"way":[34],"represent":[36,95],"the":[37,50,62,66,84,96,111,115,122,130,148],"relationships":[38],"between":[39,99],"financial":[40],"assets.":[41],"Traditional":[42],"methods":[43,153],"estimating":[45],"asset-return":[46,116],"covariance":[47,117],"operate":[48],"under":[49],"assumption":[51],"of":[52,65,77,110,114,124,147],"statistical":[53],"time-invariance,":[54],"and":[55,141],"thus":[57,137],"unable":[58],"appropriately":[60],"infer":[61],"underlying":[63],"structure":[64],"graph.":[68,106],"To":[69],"this":[70,72],"end,":[71],"work":[73],"introduces":[74],"class":[76],"spectral":[79,104,126],"estimators":[80],"which":[81],"cater":[82],"nonstationarity":[85],"inherent":[86],"asset":[88,143],"price":[89,162],"movements,":[90],"basis":[93],"time-varying":[97,112],"interactions":[98],"assets":[100],"through":[101,156],"dynamic":[103,125],"Such":[107],"account":[109],"nature":[113],"allows":[118],"introduce":[121],"notion":[123],"portfolio":[127],"cuts,":[128],"whereby":[129],"is":[132],"partitioned":[133],"into":[134],"time-evolving":[135],"clusters,":[136],"allowing":[138],"robust":[140],"online":[142],"allocation.":[144],"The":[145],"advantages":[146],"proposed":[149],"framework":[150],"over":[151],"traditional":[152],"demonstrated":[155],"numerical":[157],"case":[158],"studies":[159],"real-world":[161],"data.":[163]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2022-07-25T00:00:00"}
