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.
|Number of pages||9|
|Journal||Acta Physica Polonica B|
|Publication status||Published - Sep 1 2005|
|Event||Conference on Applications of Random Matrices to Economy and Other Complex Systems - Cracow, Poland|
Duration: May 25 2005 → May 28 2005
ASJC Scopus subject areas
- Physics and Astronomy(all)