Random matrix filtering in portfolio optimization

Acta Physica Polonica B

Volumn 36, Issue 9, 2005, Pages 2757-2765

  Papp, G ^a   Pafka, Sz ^a,b   Nowak, M A ^c   Kondor, I ^a,d  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^b CIB Bank   (Hungary)

^c JAGIELLONIAN UNIVERSITY   (Poland)

^d INSTITUTE FOR ADVANCED STUDY   (Hungary)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; FINANCE; MATRIX ALGEBRA; OPTIMIZATION;

COVARIANCE MATRICES; FILTERING PROCEDURES; OPTIMIZATION PROCEDURES;

RANDOM PROCESSES;

EID: 33645001923     PISSN: 05874254     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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