Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. Although the outcomes of such...

Estimation of the covariance matrix is an essential task of portfolio selection. A multivariate approach is needed. Unfortunately, it is leading to a flat likelihood function for a realistic number of assets. This paper is proposing a principal components analysis together with a sophisticated...