Estimated correlation matrices and portfolio optimization

Physica A: Statistical Mechanics and its Applications

Volumn 343, Issue 1-4, 2004, Pages 623-634

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

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^b CIB Bank   (Hungary)

^c INSTITUTE FOR ADVANCED STUDY   (Hungary)

Author keywords

Estimated covariance matrices; Estimation noise; Noise filtering; Portfolio optimization; Random matrix theory; Risk management

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; MATHEMATICAL MODELS; MATRIX ALGEBRA; NOISE ABATEMENT; OPTIMIZATION; RANDOM PROCESSES; RISK MANAGEMENT; TIME SERIES ANALYSIS;

ESTIMATED COVARIANCE MATRICES; ESTIMATION NOISE; NOISE FILTERING; PORTFOLIO OPTIMIZATION; RANDOM MATRIX THEORY;

ECONOMICS;

EID: 4544363306     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.05.079     Document Type: Article

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