Random matrix theory and fund of funds portfolio optimisation

Physica A: Statistical Mechanics and its Applications

Volumn 382, Issue 2, 2007, Pages 565-576

  Conlon, T ^a   Ruskin, H J ^a   Crane, M ^a  

^a DUBLIN CITY UNIVERSITY   (Ireland)

Author keywords

Correlation matrix; Fund of funds; Hedge funds; Portfolio optimisation; Random matrix theory

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS; MATRIX ALGEBRA; OPTIMIZATION; RANDOM PROCESSES; RISK ANALYSIS;

CORRELATION MATRIX; FUND OF FUNDS; HEDGE FUNDS; PORTFOLIO OPTIMISATION; RANDOM MATRIX THEORY (RMT);

RESOURCE ALLOCATION;

EID: 34250678471     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2007.04.039     Document Type: Article

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