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

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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