Random Matrix Filtering in Portfolio Optimization

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.

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Year of publication:	2005-09
Authors:	Papp, Gabor ; Pafka, Szilard ; Nowak, Maciej A. ; Kondor, Imre
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Acta Physica Polonica 36 (2005) 2757
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005098685