Random Matrix Filtering in Portfolio Optimization

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dc.creatorPapp, Gabor
dc.creatorPafka, Szilard
dc.creatorNowak, Maciej A.
dc.creatorKondor, Imre
dc.date2005-09-28
dc.date.accessioned2026-07-07T12:07:39Z
dc.date.available2026-07-07T12:07:39Z
dc.descriptionWe 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.
dc.description9 pages with 3 EPS figures
dc.identifierhttps://arxiv.org/abs/physics/0509235
dc.identifierhttp://arxiv.org/abs/physics/0509235
dc.identifierActa Physica Polonica 36 (2005) 2757
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209042
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleRandom Matrix Filtering in Portfolio Optimization
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