Random matrix filtering in portfolio optimization

G. Papp, Sz Pafka, M. A. Nowak, I. Kondor

Research output: Conference article

35 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)2757-2765
Number of pages9
JournalActa Physica Polonica B
Volume36
Issue number9
Publication statusPublished - szept. 1 2005
EventConference on Applications of Random Matrices to Economy and Other Complex Systems - Cracow, Poland
Duration: máj. 25 2005máj. 28 2005

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ASJC Scopus subject areas

  • Physics and Astronomy(all)

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