Financial Applications of Random Matrix Theory – Dynamics of the Covariance Matrix

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 based on dynamics of a covariance matrix

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Year of publication:	2012
Authors:	Snarska, Malgorzata
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Theorie \| Theory \| Lineare Algebra \| Linear algebra \| Finanzmarkt \| Financial market

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