Stock indices related to specific economic sectors play a major role in portfolio diversification. Notwithstanding its importance, the traditional sector classification shows several flaws. We propose a latent class approach in order to correctly classify the financial assets and to obtain sector indices which are consistent with the standard portfolio theory. Our results allow to introduce a methodological dimension in the stocks classification and to improve the investment opportunities.

Sector classification in stock markets: a latent class approach / M. COSTA; L. DE ANGELIS. - STAMPA. - (2008), pp. 249-252. (Intervento presentato al convegno first joint meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society tenutosi a Caserta nel 11-13 giugno 2008).

Sector classification in stock markets: a latent class approach

COSTA, MICHELE;DE ANGELIS, LUCA
2008

Abstract

Stock indices related to specific economic sectors play a major role in portfolio diversification. Notwithstanding its importance, the traditional sector classification shows several flaws. We propose a latent class approach in order to correctly classify the financial assets and to obtain sector indices which are consistent with the standard portfolio theory. Our results allow to introduce a methodological dimension in the stocks classification and to improve the investment opportunities.
2008
Proceedings of the first joint meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society
249
252
Sector classification in stock markets: a latent class approach / M. COSTA; L. DE ANGELIS. - STAMPA. - (2008), pp. 249-252. (Intervento presentato al convegno first joint meeting of the Société Francophone de Classification and the Classification and Data Analysis Group of the Italian Statistical Society tenutosi a Caserta nel 11-13 giugno 2008).
M. COSTA; L. DE ANGELIS
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/56665
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