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Estimated covariance matrices 1 Estimation noise 1 Noise filtering 1 Portfolio optimization 1 Random matrix theory 1 Risk management 1
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Kondor, Imre 1 Pafka, Szilárd 1
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Physica A: Statistical Mechanics and its Applications 1
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Estimated correlation matrices and portfolio optimization
Pafka, Szilárd; Kondor, Imre - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 623-634
Correlations of returns on various assets play a central role in financial theory and also in many practical applications. From a theoretical point of view, the main interest lies in the proper description of the structure and dynamics of correlations, whereas for the practitioner the emphasis...
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