Automatic Trading Agent; RMT Based Portfolio Selection – Theoretical Aspects

In this paper we show, how Random Matrix Theory can be used to improve Markovitz's portfolio selection model. Detailed simulation study have been provided based on Warsaw Stock Exchange data using an automated trading system

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Year of publication:	2012
Authors:	Snarska, Malgorzata
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Agentenbasierte Modellierung \| Agent-based modeling

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance Papers, January 2006 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 22, 2005 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013100406