Speaker
Description
The Markowitz portfolio selection model is an optimization problem for investments to achieve a good return while control the risk of losses. On the technical side it is a quadratic or in other later variants a linear program. The so-called market graph is a graph based model to capture certain aspects of the inner working and structure of a stock market. More specifically it uses concepts like clique or chromatic numbers, independent sets, clique partitions from graph theory. It is clear that both models can be used in connection with a wider variety of time serieses than those of coming from the financial world. Obviously the techniques can be used in situations other than they originally were intended. In the lecture we will treat the models as general data analytic tools and carry out a detailed comparison. We will touch on the aspect of the range of applicability, computational costs, size of problems can be handled, issues of interpretation, whether they can serve as exploratory or confirmatory devices.
