Noisy covariance matrices and portfolio optimization II

Physica A: Statistical Mechanics and its Applications

Volumn 319, Issue , 2003, Pages 487-494

  Pafka, Szilárd ^a   Kondor, Imre ^a,b  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^b Raiffeisen Bank   (Hungary)

Author keywords

Noisy covariance matrices; Portfolio optimization; Random matrix theory; Risk management

Indexed keywords

INVESTMENTS; MATRIX ALGEBRA; OPTIMIZATION; RISK MANAGEMENT; TIME SERIES ANALYSIS;

COVARIANCE MATRICES;

ECONOMICS;

EID: 0037364017     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01499-1     Document Type: Article

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