Financial Applications of Random Matrix Theory – Covariance Matrix Filtering Techniques (Chapter 4)

In this paper we review some standard and more recent filtering techniques, based on Random Matrix Theory (RMT), that can reduce the “empirical” noise and slightly improve standard Markowitz model's predictions

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Year of publication:	2012
Authors:	Snarska, Malgorzata
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Lineare Algebra \| Linear algebra \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance Papers, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 12, 2006 erstellt
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013100404