GUEORGUI S. KONSTANTINOV, PHD, has over 17 years’ experience in portfolio manage­ment, managing global bond portfolios and currencies for institutional investors and pension funds. He is an advisory board member of the Journal of Portfolio Management and the coauthor of Quantitative Global Bond ­Portfolio Management. FRANK J. FABOZZI, PHD, is Professor of Practice at John Hopkins University’s Carey Business School. He has authored over 100 books and edited The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities. He holds the CFA and CPA professional designations.

• Preface ix Acknowledgments xv About the Authors xvii Part One Chapter 1 Introduction 3 Chapter 2 The Basic Structure of a Network 29 Chapter 3 Network Properties 45 Chapter 4 Network Centrality Metrics 71 Part Two Chapter 5 Network Modeling 95 Chapter 6 Foundations for Building Portfolio Networks – Link Prediction and Association Models 117 Chapter 7 Foundations for Building Portfolio Networks – Statistical and Econometric Models 141 Chapter 8 Building Portfolio Networks – Probabilistic Models 163 Chapter 9 Network Processes in Asset Management 181 Chapter 10 Portfolio Allocation With Networks 227 Part Three Chapter 11 Systematic and Systemic Risk, Spillover, and Contagion 261 Chapter 12 Networks in Risk Management 277 References 313 Index 327

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GUEORGUI S. KONSTANTINOV, PHD, has over 17 years’ experience in portfolio manage­ment, managing global bond portfolios and currencies for institutional investors and pension funds. He is an advisory board member of the Journal of Portfolio Management and the coauthor of Quantitative Global Bond ­Portfolio Management. FRANK J. FABOZZI, PHD, is Professor of Practice at John Hopkins University’s Carey Business School. He has authored over 100 books and edited The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities. He holds the CFA and CPA professional designations.

• Preface ix Acknowledgments xv About the Authors xvii Part One Chapter 1 Introduction 3 Chapter 2 The Basic Structure of a Network 29 Chapter 3 Network Properties 45 Chapter 4 Network Centrality Metrics 71 Part Two Chapter 5 Network Modeling 95 Chapter 6 Foundations for Building Portfolio Networks – Link Prediction and Association Models 117 Chapter 7 Foundations for Building Portfolio Networks – Statistical and Econometric Models 141 Chapter 8 Building Portfolio Networks – Probabilistic Models 163 Chapter 9 Network Processes in Asset Management 181 Chapter 10 Portfolio Allocation With Networks 227 Part Three Chapter 11 Systematic and Systemic Risk, Spillover, and Contagion 261 Chapter 12 Networks in Risk Management 277 References 313 Index 327

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GUEORGUI S. KONSTANTINOV, PHD, has over 17 years’ experience in portfolio manage­ment, managing global bond portfolios and currencies for institutional investors and pension funds. He is an advisory board member of the Journal of Portfolio Management and the coauthor of Quantitative Global Bond ­Portfolio Management. FRANK J. FABOZZI, PHD, is Professor of Practice at John Hopkins University’s Carey Business School. He has authored over 100 books and edited The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities. He holds the CFA and CPA professional designations.

• Preface ix Acknowledgments xv About the Authors xvii Part One Chapter 1 Introduction 3 Chapter 2 The Basic Structure of a Network 29 Chapter 3 Network Properties 45 Chapter 4 Network Centrality Metrics 71 Part Two Chapter 5 Network Modeling 95 Chapter 6 Foundations for Building Portfolio Networks – Link Prediction and Association Models 117 Chapter 7 Foundations for Building Portfolio Networks – Statistical and Econometric Models 141 Chapter 8 Building Portfolio Networks – Probabilistic Models 163 Chapter 9 Network Processes in Asset Management 181 Chapter 10 Portfolio Allocation With Networks 227 Part Three Chapter 11 Systematic and Systemic Risk, Spillover, and Contagion 261 Chapter 12 Networks in Risk Management 277 References 313 Index 327

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