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We propose the use of the correlation network dependence structure in constructing some well-known risk-based models in which the estimation of the correlation matrix is a building block in the portfolio optimization. We formulate and solve all these portfolio allocation problems using both the standard approach and the network-based approach. Moreover, in constructing the network-based portfolios we propose the use of three different estimators for the covariance matrix: the sample, the shrinkage toward constant correlation and the depth-based estimators . All the strategies under analysis are implemented on three high-dimensional portfolios having different characteristics. We find that the network-based portfolio consistently performs better and has lower risk compared to the corresponding standard portfolio in an out-of-sample perspective.<\/jats:p>","DOI":"10.1007\/s10479-022-04675-7","type":"journal-article","created":{"date-parts":[[2022,4,11]],"date-time":"2022-04-11T10:07:08Z","timestamp":1649671628000},"page":"1519-1541","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":15,"title":["Smart network based portfolios"],"prefix":"10.1007","volume":"316","author":[{"given":"Gian Paolo","family":"Clemente","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Rosanna","family":"Grassi","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1921-8435","authenticated-orcid":false,"given":"Asmerilda","family":"Hitaj","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2022,4,11]]},"reference":[{"issue":"3","key":"4675_CR1","doi-asserted-by":"crossref","first-page":"15","DOI":"10.3905\/jii.2013.4.3.015","volume":"4","author":"N Amenc","year":"2013","unstructured":"Amenc, N., & Goltz, F. 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