A P-spline based clustering approach for portfolio selection

作者：

Highlights：

• We propose to use the “parsimonious clustering” method on financial time series.

• The goal is to build a financial portfolio.

• The results are consistent with financial portfolio selection.

摘要

•We propose to use the “parsimonious clustering” method on financial time series.•The goal is to build a financial portfolio.•The results are consistent with financial portfolio selection.

论文关键词：Cluster analysis,P-spline,Time series,Portfolio selection

论文评审过程：Received 29 June 2017, Revised 25 October 2017, Accepted 13 November 2017, Available online 14 November 2017, Version of Record 21 November 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.11.031