dorsal/arxiv
View SchemaRandom Matrix Filtering in Portfolio Optimization
| Authors | Gabor Papp, Szilard Pafka, Maciej A. Nowak, Imre Kondor |
|---|---|
| Categories | |
| ArXiv ID | physics/0509235 |
| URL | https://arxiv.org/abs/physics/0509235 |
| Journal | Acta Physica Polonica 36 (2005) 2757 |
Abstract
We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may be misleading. In this paper we investigate a recently introduced filtering procedure, and demonstrate the applicability of this method in a controlled, simulation environment.
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"abstract": "We study empirical covariance matrices in finance. Due to the limited amount\nof available input information, these objects incorporate a huge amount of\nnoise, so their naive use in optimization procedures, such as portfolio\nselection, may be misleading. In this paper we investigate a recently\nintroduced filtering procedure, and demonstrate the applicability of this\nmethod in a controlled, simulation environment.",
"arxiv_id": "physics/0509235",
"authors": [
"Gabor Papp",
"Szilard Pafka",
"Maciej A. Nowak",
"Imre Kondor"
],
"categories": [
"physics.soc-ph",
"q-fin.ST"
],
"journal_ref": "Acta Physica Polonica 36 (2005) 2757",
"title": "Random Matrix Filtering in Portfolio Optimization",
"url": "https://arxiv.org/abs/physics/0509235"
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